Generalized ridge estimator shrinkage estimation based on particle swarm optimization algorithm | ||
IRAQI JOURNAL OF STATISTICAL SCIENCES | ||
Article 4, Volume 17, Issue 32, Autumn 2020, Page 37-52 PDF (568 K) | ||
Document Type: Research Paper | ||
DOI: 10.33899/iqjoss.2020.167387 | ||
Authors | ||
Qamar Abdul kareem ![]() | ||
1Researcher / College of Computer science and Mathematics / Mosul University | ||
2Dept. of Statistics and Informatics/ college of computer sciences and mathematics/ University of Mosul, Mosul, iraq | ||
Abstract | ||
It is well-known that in the presence of multicollinearity, the ridge estimator is an alternative to the ordinary least square (OLS) estimator. Generalized ridge estimator (GRE) is an generalization of the ridge estimator. However, the efficiency of GRE depends on appropriately choosing the shrinkage parameter matrix which is involved in the GRE. In this paper, a particle swarm optimization method, which is a metaheuristic continuous algorithm, is proposed to estimate the shrinkage parameter matrix. The simulation study and real application results show the superior performance of the proposed method in terms of prediction error. | ||
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