Parameter Estimation Method in Ridge Regression

by Ashok Dorugade and D. N. Kashid.

Abstract: In this article, we propose a new method for parameter estimation in a linear regression model when multicollinearity is present. The properties of proposed estimator are discussed. We compare the performance of proposed estimator with generalized ridge regression, Jackknifed ridge regression and Modified Jackknifed ridge regression estimator. Also, we demonstrate the performance of the proposed estimator in variable selection through numerical examples.

Key Words: Ridge regression, Ridge estimator, Multicollinearity, Jackknifed Ridge estimator

Authors:
Ashok Dorugade, adorugade@rediff.com
Kashid D.N, dnkashid_in@yahoo.com

Editor: Naik, Dayanand N., dnaik@odu.edu

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