On the biased estimation in regression studies on ridge-type estimation

In this work we have developed and studied a new ridge-type estimation method which we call the orthogonalizing ridge estimation. We have attempted to improve regression estimation with respect to the LS-estimation only in multicollinear cases. When we have the orthogonal case the orthogonalizing ri...

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Main Author: Leskinen, Esko
Format: Doctoral dissertation
Language:eng
Published: 1980
Subjects:
Online Access: https://jyx.jyu.fi/handle/123456789/103838
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author Leskinen, Esko
author_facet Leskinen, Esko Leskinen, Esko
author_sort Leskinen, Esko
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description In this work we have developed and studied a new ridge-type estimation method which we call the orthogonalizing ridge estimation. We have attempted to improve regression estimation with respect to the LS-estimation only in multicollinear cases. When we have the orthogonal case the orthogonalizing ridge estimation is equivalent to the LS-estimation. Further, in the orthogonalizing ridge estimation we only modify those components of the orthogonalizing ridge estimators in which the corresponding components of the LS-estimator (in the canonical form) often produce the most inaccurate estimates. When we add the orthogonalizing constant k to these components of estimators, we do not damp coefficients of estimators to zero when k increases. We have studied the MSE-properties of the orthogonalizing ridge estimators and shown that there always exists a fixed k > 0 such that their MSE's are smaller than the MSE of the LS-estimator. We have constructed a simulation study of orthogonalizing ridge estimators and ridge estimators and compared their properties with the LS-estimator and with each other. We have also applied these estimation methods to two empirical data in which the presence of multicollinearity causes serious problems in the LS-estimation.
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spellingShingle Leskinen, Esko On the biased estimation in regression : studies on ridge-type estimation tilastotiede regressioanalyysi
title On the biased estimation in regression : studies on ridge-type estimation
title_full On the biased estimation in regression : studies on ridge-type estimation
title_fullStr On the biased estimation in regression : studies on ridge-type estimation On the biased estimation in regression : studies on ridge-type estimation
title_full_unstemmed On the biased estimation in regression : studies on ridge-type estimation On the biased estimation in regression : studies on ridge-type estimation
title_short On the biased estimation in regression
title_sort on the biased estimation in regression studies on ridge type estimation
title_sub studies on ridge-type estimation
title_txtP On the biased estimation in regression : studies on ridge-type estimation
topic tilastotiede regressioanalyysi
topic_facet regressioanalyysi tilastotiede
url https://jyx.jyu.fi/handle/123456789/103838 http://www.urn.fi/URN:ISBN:978-952-86-0841-7
work_keys_str_mv AT leskinenesko onthebiasedestimationinregressionstudiesonridgetypeestimation