Shrinkage Estimation Strategies in Generalised Ridge Regression Models: Low/High‐Dimension Regime

Summary In this study, we suggest pretest and shrinkage methods based on the generalised ridge regression estimation that is suitable for both multicollinear and high‐dimensional problems. We review and develop theoretical results for some of the shrinkage estimators. The relative performance of the...

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Veröffentlicht in:	International statistical review 2020-04, Vol.88 (1), p.229-251
Hauptverfasser:	Yüzbaşı, Bahadır, Arashi, Mohammad, Ejaz Ahmed, S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer simulation Data analysis Estimators Generalised ridge regression Least squares method low‐dimensional and high‐dimensional data Maximum likelihood method multicollinearity penalty estimation Regression analysis Regression models Regularization Shrinkage shrinkage estimation
Online-Zugang:	Volltext
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