Performance of Some Modified Ordinary Ridge Regression Estimators

Year : 2022 | Volume : | Issue : 2 | Page : 13-26

    Satish Bhat

  1. Assistant Professor, Department of Statistics, Yuvaraja’s College, University of Mysore, Karnataka, India


In multiple linear regressions, if the data suffer from severe multicollinearity, then the ordinary least squares (OLS) method become more sensitive to it, and in such a case OLS could yield wrong sign for some of the regression coefficients. Therefore, when such a situation arises, we could use one of the biased regression methods viz., ridge regression, principal component regression, and so on, as an alternative method to OLS. This article pertains to ridge regression only. To overcome the problem of multicollinearity, here, we propose some modified ordinary ridge estimators, which are defined by taking convex combinations of some of the existing estimators. Empirically performance of the suggested estimators is compared with some of the existing estimators which are considered in this study, and the results indicate the suggested estimators performed better in terms of MSE (mean square errors). Moreover, the suggested estimators are more robust to problem of linear dependency between the predictors.

Keywords: Multiple linear regressions, multicollinearity, VIF, ridge parameter, MSE

[This article belongs to Research & Reviews : Journal of Statistics(rrjs)]

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Regular Issue Open Access Article
Volume 11
Issue 2
Received August 22, 2022
Accepted August 29, 2022
Published September 12, 2022