Accession Number : AD0723626

Title :   An Evaluation of Ridge Estimators,

Corporate Author : RAND CORP SANTA MONICA CALIF

Personal Author(s) : Newhouse,Joseph P. ; Oman,Samuel D.

Report Date : APR 1971

Pagination or Media Count : 37

Abstract : The report explores the statistical properties of a class of estimators, known as either ridge analysis or ridge regression, proposed as an alternative to ordinary least squares (OLS) regression in analyzing sample data that are collinear. Using Monte Carlo techniques, various ridge estimation procedures were evaluated. All the ridge estimators did worse than OLS for at least some choices of the true regression coefficient in the models considered. It thus appears that the ridge estimators proposed to date are not a viable alternative to OLS. However, the results show that it might be possible to define a ridge estimator that would be better than OLS. Until the properties of such an estimator are rigorously derived, the authors caution against using ridge analysis to estimate regression coefficients. (Author)

Descriptors :   (*REGRESSION ANALYSIS, MATHEMATICAL PREDICTION), LEAST SQUARES METHOD, MONTE CARLO METHOD, MATHEMATICAL MODELS, SAMPLING, THEOREMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE