2 research outputs found
The Distribution of Stochastic Shrinkage Parameters in Ridge Regression
In this article we derive the density and distribution functions of the stochastic shrinkage parameters of three well-known operational Ridge Regression estimators by assuming normality. The stochastic behavior of these parameters is likely to affect the properties of the resulting Ridge Regression estimator, therefore such knowledge can useful in the selection of the shrinkage rule. Some numerical calculations are carried out to illustrate the behavior of these distributions, throwing light on the performance of the different Ridge Regression estimators.
The Efficient Shrinkage Path: Maximum Likelihood of Minimum MSE Risk
A new generalized ridge regression shrinkage path is proposed that is as
short as possible under the restriction that it must pass through the vector of
regression coefficient estimators that make the overall Optimal Variance-Bias
Trade-Off under Normal distribution-theory. Five distinct types of ridge TRACE
displays plus other graphics for this efficient path are motivated and
illustrated here. These visualizations provide invaluable data-analytic
insights and improved self-confidence to researchers and data scientists
fitting linear models to ill-conditioned (confounded) data.Comment: 21 pages, 9 figures. arXiv admin note: substantial text overlap with
withdrawn arXiv:2005.1429