A review of ridge parameter selection: minimization of the mean squared error vs. mitigation of multicollinearity

• Published in: Communications in statistics. Simulation and computation Vol. 53; no. 8; pp. 3686 - 3698
• Main Authors: García García, Catalina, Salmerón Gómez, Roman, García Pérez, José
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 02.08.2024; Taylor & Francis Ltd
• Subjects: Collinearity; Detection; Errors; Estimation; Estimators; Mean squared error; Monte Carlo simulation; Multicollinearity; Optimization; Parameter estimation; Ridge regression; Variance inflation factor

Ridge Estimation (RE) is a widespread method to overcome the problem of collinearity defining a class of estimators depending on the non-negative scalar parameter k. A great number of papers focus on the estimation of this biasing parameter. Traditionally, the mean squared error criterion is used to...