A note about the corrected VIF

DOI10.1007/S00362-015-0732-9MaRDI QIDQ1685228zbMATH OpenOpenAlexFDO

Authors Peng Zhang

Publication date 13 December 2017

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-015-0732-9

zbMATH Keywords

collinearitycorrected variance inflation factor (CVIF)linear regressionmultivariablesridge regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Review text

The linear regression model is applied to analyze the relation between a dependent (endogenous) variable and a set of independent (exogenous) variables. It assumes that the matrix (\(X'X\)) is well-conditioned. The paper shows the limitations to applying the CVIF in ordinary least squares and proposes some modifications. A numerical example is given.

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Cites work

• A new biased estimator based on ridge estimation
• A new Liu-type estimator
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• Advantages of Examining Multicollinearities in Regression Analysis
• Anomalies in the Foundations of Ridge Regression
• Collinearity: revisiting the variance inflation factor in ridge regression
• Combining two-parameter and principal component regression estimators
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• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 3753890 (Why is no real title available?)
• scientific article; zbMATH DE number 3307071 (Why is no real title available?)
• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
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• Meaningful Multicollinearity Measures
• Ridge Regression in Practice
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
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• The problem of near-multicollinearity revisited: erratic vs systematic volatility.
• Using Liu-Type Estimator to Combat Collinearity

Cited in

(4)

• The corrected VIF (CVIF)
• The coefficient of determination in the ridge regression
• The red indicator and corrected VIFs in generalized linear models
• Diagnosis and quantification of the non-essential collinearity

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