Please use this identifier to cite or link to this item:
http://hdl.handle.net/10773/17966
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 |
URI: | http://hdl.handle.net/10773/17966 |
DOI: | 10.1080/03610918.2015.1096378 |
ISSN: | 0361-0918 |
Appears in Collections: | CIDMA - Artigos PSG - Artigos |
Files in This Item:
File | Description | Size | Format | |
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PaperCIS-SC2017.pdf | Paper | 379.5 kB | Adobe PDF | View/Open |
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