Developing ridge estimation method for median regression
2012 (English)In: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 39, no 12, 2627-2638 p.Article in journal (Refereed) Published
In this paper, the ridge estimation method is generalized to the median regression. Though the least absolute deviation (LAD) estimation method is robust in the presence of non-Gaussian or asymmetric error terms, it can still deteriorate into a severe multicollinearity problem when non-orthogonal explanatory variables are involved. The proposed method increases the efficiency of the LAD estimators by reducing the variance inflation and giving more room for the bias to get a smaller mean squared error of the LAD estimators. This paper includes an application of the new methodology and a simulation study as well.
Place, publisher, year, edition, pages
2012. Vol. 39, no 12, 2627-2638 p.
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:hj:diva-19676DOI: 10.1080/02664763.2012.724663OAI: oai:DiVA.org:hj-19676DiVA: diva2:562317