Title : ( Preliminary test methodology in ridge regression under stochastic constraints )
Authors: M. Arashi , Mohammad Mehdi Tabatabaey Mashhadi , Mahsa Hassanzadeh Bashtian ,
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Abstract
The problem of estimation of the regression coefficients in a multiple regression model is considered under multicollinearity situation. Further it is suspected that the regression coefficients may be restricted to a subspace. In this approach, we present the estimators of the regression coefficients combining the idea of preliminary test estimator and Stein-rule estimator with the ridge regression methodology for elliptically contoured distributions. Accordingly, their exact risk expressions in addition to biases are derived. The estimators under study are compared and the regions of optimality of the estimators are exactly determined along with some numerical analysis. In this regard, the ridge constant is determined in different disciplines.
Keywords
, Elliptically contoured distribution, Multivariate Student t-distribution, Positive-rule shrinkage ridge regression, Preliminary test ridge regression, Ridge regression, Stein-type ridge regression.
@inproceedings{paperid:1015158,
author = {M. Arashi and Tabatabaey Mashhadi, Mohammad Mehdi and Hassanzadeh Bashtian, Mahsa},
title = {Preliminary test methodology in ridge regression under stochastic constraints},
booktitle = {7th seminar on probability and stochastic processes},
year = {2009},
location = {اصفهان, IRAN},
keywords = {Elliptically
contoured distribution; Multivariate Student t-distribution; Positive-rule shrinkage ridge regression; Preliminary test ridge regression; Ridge regression; Stein-type ridge regression.},
}
%0 Conference Proceedings
%T Preliminary test methodology in ridge regression under stochastic constraints
%A M. Arashi
%A Tabatabaey Mashhadi, Mohammad Mehdi
%A Hassanzadeh Bashtian, Mahsa
%J 7th seminar on probability and stochastic processes
%D 2009
