A Review on Shrinkage Parameters in Ridge Regression
GAZI UNIVERSITY JOURNAL OF SCIENCE, cilt.30, sa.4, ss.565-582, 2017 (ESCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 30 Sayı: 4
- Basım Tarihi: 2017
- Dergi Adı: GAZI UNIVERSITY JOURNAL OF SCIENCE
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus
- Sayfa Sayıları: ss.565-582
- Gazi Üniversitesi Adresli: Evet
Özet
Multicollinearity problem arises in the case of near-linear dependencies among the independent (explanatory) variables. Ridge regression based on different shrinkage parameters is a commonly used method for solving this problem. There are many shrinkage parameters; therefore, the proper selection of the shrinkage parameters is important. In this study, we investigated the popular shrinkage parameters and compared them by means of a simulation study in terms of Mean Square Error. Furthermore, a test statistic for Ridge estimator was analyzed for comparing these parameters through simulation.