Journal
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
Volume 42, Issue 7, Pages 1578-1586Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/03610918.2012.667480
Keywords
Liu-type estimator; Logistic regression; Multicollinearity; Ridge estimator
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It is known that multicollinearity inflates the variance of the maximum likelihood estimator in logistic regression. Especially, if the primary interest is in the coefficients, the impact of collinearity can be very serious. To deal with collinearity, a ridge estimator was proposed by Schaefer et al. The primary interest of this article is to introduce a Liu-type estimator that had a smaller total mean squared error (MSE) than the Schaefer's ridge estimator under certain conditions. Simulation studies were conducted that evaluated the performance of this estimator. Furthermore, the proposed estimator was applied to a real-life dataset.
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