Abstract
This paper reviews various alternatives for constructing confidence intervals for ridge regression (RR) parameters, and illustrates them with an example. Among the newer alternatives are bootstrapping and those based on Stein’s (1981) unbiased estimate of the mean squared error (MSE) of a biased estimator of multivariate normal mean. A simulation study supports the validity of the confidence statements based on Stein’s model as modified here for the ridge regression problem. It yields confidence intervals which can be more useful and reliable than those based on other methods.
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© 1987 D. Reidel Publishing Company
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Vinod, H.D. (1987). Confidence Intervals for Ridge Regression Parameters. In: MacNeill, I.B., Umphrey, G.J., Carter, R.A.L., McLeod, A.I., Ullah, A. (eds) Time Series and Econometric Modelling. The University of Western Ontario Series in Philosophy of Science, vol 36. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-4790-0_19
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DOI: https://doi.org/10.1007/978-94-009-4790-0_19
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