Some Ridge Regression Estimators and Their Performances
Date
2020-10-22
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Publisher
Journal of Modern Applied Statistical Methods
Abstract
The estimation of ridge parameter is an important problem in the ridge regression method,
which is widely used to solve multicollinearity problem. A comprehensive study on 28
different available estimators and five proposed ridge estimators, KB1, KB2, KB3, KB4,
and KB5, is provided. A simulation study was conducted and selected estimators were
compared. Some of selected ridge estimators performed well compared to the ordinary
least square (OLS) estimator and some existing popular ridge estimators. One of the
proposed estimators, KB3, performed the best. Numerical examples were given.
Description
Keywords
Regression, multicollinearity, estimators