Two methods of evaluating hoerl and kennard's ridge regression
- 1 January 1978
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 7 (12) , 1133-1155
- https://doi.org/10.1080/03610927808827697
Abstract
We formulate a modified version of the Hoerl-Kennard ridge regression method to solve the problem of estimating coefficients in economic relationships. We investigate two approaches for determining the biasing parameter One approach utilizes prior information in choosing jr, the other approach estimates y from the sample data. Monte Carlo experiments are used to evaluate the relative efficiencies of alternative ridge estimators.Keywords
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