More on the restricted ridge regression estimation

KAÇIRANLAR S., SAKALLIOĞLU S., Ozkale M. R., GÜLER H.

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, cilt.81, sa.11, ss.1433-1448, 2011 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 81 Sayı: 11
  • Basım Tarihi: 2011
  • Doi Numarası: 10.1080/00949655.2010.491480
  • Dergi Adı: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.1433-1448
  • Anahtar Kelimeler: mean square error, multicollinearity, restricted least squares, ridge regression, restricted ridge regression
  • Çukurova Üniversitesi Adresli: Evet

Özet

Several alternative methods for derivation of the restricted ridge regression estimator (RRRE) are provided. Theoretical comparison and relationship of RRRE with related methods for regression with the multicollinearity problem are described. We also find inter-connections among RRRE, ordinary ridge regression estimator (ORRE), restricted least squares estimator (RLSE), modified ridge regression estimator (MRRE) and restricted modified generalized ridge estimator (RMGRE). Finally, numerical comparison, in addition to theoretical derivation, is also conducted with a Monte Carlo simulation and a real data example.