THE IMPROVEMENT REGION IN RIDGE REGRESSION
Abstract
One of the difficulties in the practical application of ridge regression is that, for a given data set, it is unknown whether a selected ridge estimator has smaller squared error than the least squares estimator. The concept of the improvement region is defined, and a technique is developed which obtains approximate confidence intervals for the value of ridge k which produces the maximum reduction in mean squared error. Two simulation experiments were conducted to investigate how accurate these approximate confidence intervals might be.
Subject Area
Biostatistics
Recommended Citation
BIGELOW, ROBERT HAROLD, "THE IMPROVEMENT REGION IN RIDGE REGRESSION" (1980). Texas Medical Center Dissertations (via ProQuest). AAI8112776.
https://digitalcommons.library.tmc.edu/dissertations/AAI8112776