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|Title:||Ridge regression and generalized maximum entropy: an improved version of the Ridge-GME parameter estimator|
|Keywords:||Generalized maximum entropy|
|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.|
|Appears in Collections:||CIDMA - Artigos|
PSG - Artigos
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