Inequality constrained ridge regression estimator

Toker S., Siray G., KAÇIRANLAR S.

STATISTICS & PROBABILITY LETTERS, cilt.83, sa.10, ss.2391-2398, 2013 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 83 Sayı: 10
  • Basım Tarihi: 2013
  • Doi Numarası: 10.1016/j.spl.2013.06.023
  • Dergi Adı: STATISTICS & PROBABILITY LETTERS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.2391-2398
  • Anahtar Kelimeler: Multicollinearity, Ridge regression, Inequality constrained least squares estimator, Inequality constrained ridge regression estimator, Lemke algorithm
  • Çukurova Üniversitesi Adresli: Evet

Özet

We carry out the idea of inequality constrained least squares (ICLS) estimation of Liew (1976) to the inequality constrained ridge regression (ICRR) estimation. We propose ICRR estimator by reducing the primal dual relation to the fundamental problem of Dantzig-Cottle (1967,1974) with Lemke (1962) algorithm. Furthermore, we conduct a Monte Carlo experiment. (C) 2013 Elsevier B.V. All rights reserved.