Generalized ridge estimator shrinkage estimation based on particle swarm optimization algorithm
It is well-known that in the presence of multicollinearity, the ridge estimator is an alternative to the ordinary least square (OLS) estimator. Generalized ridge estimator (GRE) is an generalization of the ridge estimator. However, the efficiency of GRE depends on appropriately choosing the shrinkag...
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| Published in: | المجلة العراقية للعلوم الاحصائية Vol. 17; no. 2; pp. 37 - 52 |
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| Main Authors: | , |
| Format: | Journal Article |
| Language: | Arabic |
| Published: |
College of Computer Science and Mathematics, University of Mosul
01-12-2020
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| Online Access: | Get full text |
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| Summary: | It is well-known that in the presence of multicollinearity, the ridge estimator is an alternative to the ordinary least square (OLS) estimator. Generalized ridge estimator (GRE) is an generalization of the ridge estimator. However, the efficiency of GRE depends on appropriately choosing the shrinkage parameter matrix which is involved in the GRE. In this paper, a particle swarm optimization method, which is a metaheuristic continuous algorithm, is proposed to estimate the shrinkage parameter matrix. The simulation study and real application results show the superior performance of the proposed method in terms of prediction error. |
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| ISSN: | 1680-855X 2664-2956 |
| DOI: | 10.33899/iqjoss.2020.167387 |