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| 引用本文： | ?????,????.????????????????????[J].应用概率统计,2018,34(5):501-514. |
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| 作者姓名： | ????? ???? |
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| 作者单位： | ?????????????????, ??, 030006; ??????????????, ??, 030006 |
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| 摘 要： |
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| 关 键 词： | ???? ??? ??????? ?????? ??????? |
Vector Parameter for Ridge Regression |
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| ZHU Shangwei,LI Jinghua.Vector Parameter for Ridge Regression[J].Chinese Journal of Applied Probability and Statisties,2018,34(5):501-514. |
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| Authors: | ZHU Shangwei LI Jinghua |
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| Institution: | School of Applied Mathematics, Shanxi University of Finance & Economics, Taiyuan, 030006, China ; School of Statistics, Shanxi University of Finance & Economics, Taiyuan, 030006, China |
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| Abstract: | In this paper, a vector parameter method for ridge regression is proposed. We choose the negative gradient of mean square error as vector direction and decide vector norm with the expectation constrains both of mean square error and of residual error. We come to conclusions that the mean square error is a decreasing function of vector norm while the residual error a increasing one. It is the monotonicity of the errors that leads to our expectation constrains. Since two conflict constrains are under consideration, our vector parameter ridge regression is expected to bear both satisfactory mean square error and acceptable residual error. Finally, a multi-collinearity model is given as an example. |
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