Shrinkage parameter selection via modified cross-validation approach for ridge regression model

The ridge regression estimator has been consistently demonstrated to be an attractive shrinkage method to reduce the effects of multicollinearity. The choice of the ridge shrinkage parameter is critical. Cross-validation method is a widely adopted method for shrinkage parameter selection. However, c...

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Bibliographic Details

Published in:	Communications in statistics. Simulation and computation Vol. 49; no. 7; pp. 1922 - 1930
Main Author:	Algamal, Zakariya Yahya
Format:	Journal Article
Language:	English
Published:	Philadelphia Taylor & Francis 02-07-2020 Taylor & Francis Ltd
Subjects:	Computer simulation Cross-validation Monte Carlo simulation Multicollinearity Parameter modification Regression models Ridge regression Shrinkage
Online Access:	Get full text
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