Use of the Bootstrap and Cross-Validation in Ridge Regression |
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Authors: | Nancy Jo Delaney Sangit Chatterjee |
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Affiliation: | College of Business Administration, Northeastern University , 319 Hayden Hall, Boston , MA , 02115 |
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Abstract: | Several existing methods for the choice of the ridge parameter are reviewed, and a bootstrap method is proposed. The bootstrap provides independent measures of prediction errors based on multiple predictions along with an estimate of the standard error of prediction. The bootstrap and selected competitors are compared through Monte Carlo simulations for various degrees of design matrix collinearity and varying levels of signal-to-noise ratio. The procedure is also illustrated by application to two published data sets. In one case, the bootstrap choice of the ridge parameter leads to a smaller mean squared error of prediction than the ridge trace method. In the second case, an optimal choice of no perturbation is confirmed. Benefits of the bootstrap choice include its less subjective nature, ease of implementation, and robustness. |
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Keywords: | Average mean squared error of prediction Biased estimates Collinear data Condition number Ridge parameter Robust inference Signal-to-noise ratio |
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