Journal
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
Volume 38, Issue 3, Pages 621-630Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/03610910802592838
Keywords
Bias; Estimation; MSE; Multicollinearity; Ridge regression; Simulation
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In ridge regression analysis, the estimation of the ridge parameter k is an important problem. Many methods are available for estimating such a parameter. This article reviewed and proposed some estimators based on Kibria (2003) and Khalaf and Shukur (2005). A simulation study has been made and mean squared error (MSE) criteria are used to compare the performances of the estimators. We observed that under certain conditions some of the proposed estimators performed well compared to the ordinary least squared (OLS) estimator and some existing popular estimators. Finally, a numerical example has been considered to illustrate the performance of the estimators.
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