Monte Carlo study of some classification-based ridge parameter estimators
نویسندگان
چکیده
منابع مشابه
Comparing cointegrating regression estimators: Some additional Monte Carlo results
This paper compares the finite sample performance of the canonical correlation regression estimator (CCR) and Stock and Watson's (A simple estimator of cointegration vectors in higher order integrated systems, Econometrica, 1993, 61(4), 783-820) dynamic ordinary least squares estimator (DOLS) using the models proposed by Inder (Journal of Econometrics, 1993, 57, 53-68). The CCR estimator shows ...
متن کاملModified ridge regression parameters: A comparative Monte Carlo study
In multiple regression analysis, the independent variables should be uncorrelated within each other. If they are highly intercorrelated, this serious problem is called multicollinearity. There are several methods to get rid of this problem and one of the most famous one is the ridge regression. In this paper, we will propose some modified ridge parameters. We will compare our estimators with so...
متن کاملEfficient Combination of Partial Monte Carlo Estimators
In many practical scenarios, including those dealing with large data sets, calculating global estimators of unknown variables of interest becomes unfeasible. A common solution is obtaining partial estimators and combining them to approximate the global one. In this technical report, we focus on minimum mean squared error (MMSE) estimators, introducing two efficient linear schemes for the fusion...
متن کاملMonte Carlo Analysis of Change Point Estimators
We consider several estimators for the change point in a sequence of independent observations. These are defined as the maximizing points of usually used statistics for nonparametric change point detection problems. Our investigations focus on the non asymptotic behaviour of the proposed estimators for sample sizes commonly observed in practice. We conducted a broad Monte Carlo study to compare...
متن کاملSome Ridge Regression Estimators and Their Performances
The estimation of ridge parameter is an important problem in the ridge regression method, which is widely used to solve multicollinearity problem. A comprehensive study on 28 different available estimators and five proposed ridge estimators, KB1, KB2, KB3, KB4, and KB5, is provided. A simulation study was conducted and selected estimators were compared. Some of selected ridge estimators perform...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Modern Applied Statistical Methods
سال: 2017
ISSN: 1538-9472
DOI: 10.22237/jmasm/1493598240