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Title: Ridge regression and generalized maximum entropy: an improved version of the Ridge-GME parameter estimator
Author: Macedo, Pedro
Keywords: Generalized maximum entropy
Ridge regression
Shrinkage estimation
Issue Date: 2017
Publisher: Taylor & Francis
Abstract: In this paper, the Ridge-GME parameter estimator, which combines Ridge Regression and Generalized Maximum Entropy, is improved in order to eliminate the subjectivity in the analysis of the ridge trace. A serious concern with the visual inspection of the ridge trace to define the supports for the parameters in the Ridge-GME parameter estimator is the misinterpretation of some ridge traces, in particular where some of them are very close to the axes. A simulation study and two empirical applications are used to illustrate the performance of the improved estimator. A MATLAB code is provided as supplementary material.
Peer review: yes
DOI: 10.1080/03610918.2015.1096378
ISSN: 0361-0918
Appears in Collections:CIDMA - Artigos
PSG - Artigos

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