On the Choice of the Ridge Parameter: A Maximum Entropy Approach |
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| Authors: | Pedro Macedo Manuel Scotto Elvira Silva |
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| Institution: | 1. Departamento de Matemática , Universidade de Aveiro , Aveiro , Portugal pmacedo@ua.pt;3. Departamento de Matemática , Universidade de Aveiro , Aveiro , Portugal;4. Faculdade de Economia , Universidade do Porto , Porto , Portugal |
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| Abstract: | In this article, a new method to estimate the ridge parameter, based on the ridge trace and an analytical method borrowed from maximum entropy, is presented. The performance of the new estimator is illustrated through a Monte Carlo simulation study and an empirical application to the well-known Portland cement data set. |
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| Keywords: | Ridge regression Ridge parameter Ridge trace Maximum entropy |
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