Tolerance intervals from ridge regression in the presence of multicollinearity and high dimension
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- 作者：Junyong Park junpark@umbc.edu
- 关键词：Tolerance intervals ; Ridge regression ; Ordinary least square estimator
- 刊名：Statistics & Probability Letters
- 出版年：2017
- 出版时间：February 2017
- 年：2017
- 卷：121
- 期：Complete
- 页码：128-135
- 全文大小：738 K
- 卷排序：121
文摘
In multiple regression in high dimension, we propose a method for computation of tolerance limits based on ridge regression and provide numerical studies to show the advantage of tighter tolerance limit from ridge regression compared to existing methods.