Shrinkage parameter selection via modified cross-validation approach for ridge regression model

• Published in: Communications in statistics. Simulation and computation Vol. 49; no. 7; pp. 1922 - 1930
• Main Author: Algamal, Zakariya Yahya
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 02.07.2020; Taylor & Francis Ltd
• Subjects: Computer simulation; Cross-validation; Monte Carlo simulation; Multicollinearity; Parameter modification; Regression models; Ridge regression; Shrinkage

The ridge regression estimator has been consistently demonstrated to be an attractive shrinkage method to reduce the effects of multicollinearity. The choice of the ridge shrinkage parameter is critical. Cross-validation method is a widely adopted method for shrinkage parameter selection. However, c...