Condition-index based new ridge regression estimator for linear regression model with multicollinearity
Ridge regression is employed to estimate the regression parameters while circumventing the multicollinearity among independent variables. The ridge parameter plays a vital role as it controls bias-variance tradeoff. Several methods for choosing the ridge parameter are suggested in the literature. In...
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| Format: | Article |
| Language: | English |
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Elsevier
2023-04-01
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| Series: | Kuwait Journal of Science |
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| Online Access: | https://www.sciencedirect.com/science/article/pii/S2307410823000135 |
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| author | Irum Sajjad Dar Sohail Chand Maha Shabbir B.M. Golam Kibria |
| author_facet | Irum Sajjad Dar Sohail Chand Maha Shabbir B.M. Golam Kibria |
| author_sort | Irum Sajjad Dar |
| collection | DOAJ |
| description | Ridge regression is employed to estimate the regression parameters while circumventing the multicollinearity among independent variables. The ridge parameter plays a vital role as it controls bias-variance tradeoff. Several methods for choosing the ridge parameter are suggested in the literature. In this paper, we suggest a new ridge estimator which is a function of condition index, number of predictors and error variance. This new proposal has the novelty to have a sort of automatic dealing with the multicollinearity level and signal-to-noise ratio. Extensive Monte Carlo simulations are performed to evaluate the performance of the proposed ridge regression estimators in various scenarios. It has been shown that the our proposed estimator outperforms the closely related estimators in terms of minimum mean squared error (MSE). Finally, two real life applications are also provided. |
| format | Article |
| id | doaj-art-14e1eaf79a8649658cf3f4d2e0e9e706 |
| institution | OA Journals |
| issn | 2307-4116 |
| language | English |
| publishDate | 2023-04-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Kuwait Journal of Science |
| spelling | doaj-art-14e1eaf79a8649658cf3f4d2e0e9e7062025-08-20T02:39:01ZengElsevierKuwait Journal of Science2307-41162023-04-015029196https://doi.org/10.1016/j.kjs.2023.02.013Condition-index based new ridge regression estimator for linear regression model with multicollinearityIrum Sajjad Dar0Sohail Chand1Maha Shabbir2B.M. Golam Kibria3College of Statistical and Actuarial Sciences, University of the Punjab, Lahore, PakistanCollege of Statistical and Actuarial Sciences, University of the Punjab, Lahore, PakistanCollege of Statistical and Actuarial Sciences, University of the Punjab, Lahore, PakistanDepartment of Mathematics and Statistics, Florida International University, Miami, FL, USARidge regression is employed to estimate the regression parameters while circumventing the multicollinearity among independent variables. The ridge parameter plays a vital role as it controls bias-variance tradeoff. Several methods for choosing the ridge parameter are suggested in the literature. In this paper, we suggest a new ridge estimator which is a function of condition index, number of predictors and error variance. This new proposal has the novelty to have a sort of automatic dealing with the multicollinearity level and signal-to-noise ratio. Extensive Monte Carlo simulations are performed to evaluate the performance of the proposed ridge regression estimators in various scenarios. It has been shown that the our proposed estimator outperforms the closely related estimators in terms of minimum mean squared error (MSE). Finally, two real life applications are also provided.https://www.sciencedirect.com/science/article/pii/S2307410823000135condition indexlinear regression modelmsemulticollinearitymonte carlo simulationridge regression |
| spellingShingle | Irum Sajjad Dar Sohail Chand Maha Shabbir B.M. Golam Kibria Condition-index based new ridge regression estimator for linear regression model with multicollinearity Kuwait Journal of Science condition index linear regression model mse multicollinearity monte carlo simulation ridge regression |
| title | Condition-index based new ridge regression estimator for linear regression model with multicollinearity |
| title_full | Condition-index based new ridge regression estimator for linear regression model with multicollinearity |
| title_fullStr | Condition-index based new ridge regression estimator for linear regression model with multicollinearity |
| title_full_unstemmed | Condition-index based new ridge regression estimator for linear regression model with multicollinearity |
| title_short | Condition-index based new ridge regression estimator for linear regression model with multicollinearity |
| title_sort | condition index based new ridge regression estimator for linear regression model with multicollinearity |
| topic | condition index linear regression model mse multicollinearity monte carlo simulation ridge regression |
| url | https://www.sciencedirect.com/science/article/pii/S2307410823000135 |
| work_keys_str_mv | AT irumsajjaddar conditionindexbasednewridgeregressionestimatorforlinearregressionmodelwithmulticollinearity AT sohailchand conditionindexbasednewridgeregressionestimatorforlinearregressionmodelwithmulticollinearity AT mahashabbir conditionindexbasednewridgeregressionestimatorforlinearregressionmodelwithmulticollinearity AT bmgolamkibria conditionindexbasednewridgeregressionestimatorforlinearregressionmodelwithmulticollinearity |