A Simulation Study of Ridge Regression Estimators with Autocorrelated Errors

DOI10.1080/03610918908812784zbMath0695.62176OpenAlexW2008320499MaRDI QIDQ3471525

Luis Firinguetti

Publication date: 1989

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918908812784

zbMATH Keywords

tablesridge regressionsimulationsleast squares regressioncollinearityfirst order autoregressive disturbance

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (18)

A restricted \(r\)-\(k\) class estimator in the mixed regression model with autocorrelated disturbances ⋮ Influence measures in ridge regression when the error terms follow an AR(1) process ⋮ Regression diagnostics methods for Liu estimator under the general linear regression model ⋮ Simultaneous prediction using target function based on principal components estimator with correlated errors ⋮ The feasible generalized restricted ridge regression estimator ⋮ Ridge regression in the context of a system of seemingly unrelated regression equations ⋮ Influence measures based on confidence ellipsoids in general linear regression model with correlated regressors ⋮ On the Performance of the Jackknifed Modified Ridge Estimator in the Linear Regression Model with Correlated or Heteroscedastic Errors ⋮ A note on the performance of biased estimators with autocorrelated errors ⋮ A jackknifed ridge estimator in the linear regression model with heteroscedastic or correlated errors ⋮ Monte Carlo Simulation Study of Biased Estimators in the Linear Regression Models with Correlated or Heteroscedastic Errors ⋮ On a principal component two-parameter estimator in linear model with autocorrelated errors ⋮ Jackknifing the Ridge Regression Estimator: A Revisit ⋮ Ridge Estimation in Linear Models with Autocorrelated Errors ⋮ \(r\)-\(k\) class estimator in the linear regression model with correlated errors ⋮ Cross validation of ridge regression estimator in autocorrelated linear regression models ⋮ A Class of s–K Type Principal Components Estimators in the Linear Model ⋮ A stochastic restricted ridge regression estimator

Cites Work

• On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors
• Ridge estimation in regression problems with autocorrelated errors: A monte carlo study
• Ridge regression:some simulations
• Directed Ridge Regression Techniques in Cases of Multicollinearity
• A simulation study of ridge and other regression estimators
• Error misspecification and properties of the simple ridge estimator
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

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