Generalized ridge estimator shrinkage estimation based on particle swarm optimization algorithm
收藏DataCite Commons2021-07-01 更新2025-04-16 收录
下载链接：
http://siba-ese.unisalento.it/index.php/ejasa/article/view/20888/20043
下载链接
链接失效反馈官方服务：
资源简介：
It is well-known that in the presence of multicollinearity, the ridge estimator is an alternative to the ordinary least square (OLS) estimator. Generalized ridge estimator (GRE) is an generalization of the ridge estimator. However, the efficiency of GRE depends on appropriately choosing the shrinkage parameter matrix which is involved in the GRE. In this paper, a particle swarm optimization method, which is a metaheuristic continuous algorithm, is proposed to estimate the shrinkage parameter matrix. The simulation study and real application results show the superior performance of the proposed method in terms of prediction error.
提供机构：
University of Salento
创建时间：
2021-07-01
