|
|||||
|
|
Inequality constrained ridge regression estimator |
|
| Authors: | Selma Toker Gülesen Üstündağ Şiray Selahattin Kaçıranlar |
| Affiliation: | Çukurova University, Faculty of Science and Letters, Department of Statistics, Adana, 01330, Turkey |
| Abstract: | We carry out the idea of inequality constrained least squares (ICLS) estimation of Liew (1976) to the inequality constrained ridge regression (ICRR) estimation. We propose ICRR estimator by reducing the primal–dual relation to the fundamental problem of Dantzig and Cottle, 1967, Cottle and Dantzig, 1974 with Lemke (1962) algorithm. Furthermore, we conduct a Monte Carlo experiment. |
| Keywords: | Multicollinearity Ridge regression Inequality constrained least squares estimator Inequality constrained ridge regression estimator Lemke algorithm |
| 本文献已被 ScienceDirect 等数据库收录！ | |