More on the restricted ridge regression estimation


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

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, cilt.81, ss.1433-1448, 2011 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 81 Konu: 11
  • Basım Tarihi: 2011
  • Doi Numarası: 10.1080/00949655.2010.491480
  • Dergi Adı: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
  • Sayfa Sayısı: ss.1433-1448

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.