Shrinkage Estimation Strategies in Generalized Ridge Regression Models Under Low/High-Dimension Regime

DOI10.1111/INSR.12351arXiv1707.02331MaRDI QIDQ6288768FDOQ6288768

Authors: B. Yüzbaşı, M. Arashi, S. Ejaz Ahmed 

Publication date: 7 July 2017

Abstract: In this study, we propose shrinkage methods based on {it generalized ridge regression} (GRR) estimation which is suitable for both multicollinearity and high dimensional problems with small number of samples (large $p$, small $n$). Also, it is obtained theoretical properties of the proposed estimators for Low/High Dimensional cases. Furthermore, the performance of the listed estimators is demonstrated by both simulation studies and real-data analysis, and compare its performance with existing penalty methods. We show that the proposed methods compare well to competing regularization techniques.

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