Accession Number : AD0769991

Title :   Ridge Regression with Non-Zero Priors: Some Monte Carlo Results. Volume II.

Descriptive Note : Annual rept. 1 Sep 72-31 Aug 73,

Corporate Author : ADMINISTRATIVE SCIENCES CORP ALEXANDRIA VA

Personal Author(s) : Eskew,Henry L.

Report Date : 31 AUG 1973

Pagination or Media Count : 34

Abstract : The report begins with a brief description of the analytic setting in which regression methods are applied in defense systems costing. Because of the characteristics of the data with which cost analysts typically work, classical least Squares can be a very unsatisfactory estimation procedure. This has prompted a number of analysts to turn to Hoerl and Kennard's relatively new procedure known as Ridge Analysis, or Ridge Regression. It is shown that straightforward application of this method involves an implicit prior assignment of zero values to each of the unknown regression parameters being estimated. A rationale and method for introducing explicit non-zero priors is developed, and the theoretical properties of these estimates are examined. (Modified author abstract)

Descriptors :   (*Regression analysis, Monte Carlo method), Department of Defense, Cost analysis, Stochastic processes, Least squares method, Estimates

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE