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Comparison of ridge and other shrinkage estimation techniques
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2014
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| _version_ | 1867613168192192512 |
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| access_status_str | Open Access |
| author | Vumbukani, Bokang C |
| author2 | Thiart, Christien |
| author_browse | Thiart, Christien Vumbukani, Bokang C |
| author_facet | Thiart, Christien Vumbukani, Bokang C |
| author_sort | Vumbukani, Bokang C |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4364 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:50.330Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4364 Comparison of ridge and other shrinkage estimation techniques Vumbukani, Bokang C Thiart, Christien Statistical Sciences Includes bibliographical references. Shrinkage estimation is an increasingly popular class of biased parameter estimation techniques, vital when the columns of the matrix of independent variables X exhibit dependencies or near dependencies. These dependencies often lead to serious problems in least squares estimation: inflated variances and mean squared errors of estimates unstable coefficients, imprecision and improper estimation. Shrinkage methods allow for a little bias and at the same time introduce smaller mean squared error and variances for the biased estimators, compared to those of unbiased estimators. However, shrinkage methods are based on the shrinkage factor, of which estimation depends on the unknown values, often computed from the OLS solution. We argue that the instability of OLS estimates may have an adverse effect on performance of shrinkage estimators. Hence a new method for estimating the shrinkage factors is proposed and applied on ridge and generalized ridge regression. We propose that the new shrinkage factors should be based on the principal components instead of the unstable OLS estimates. 2014-07-30T17:43:34Z 2014-07-30T17:43:34Z 2006 Master Thesis Masters MSc http://hdl.handle.net/11427/4364 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Statistical Sciences Vumbukani, Bokang C Comparison of ridge and other shrinkage estimation techniques |
| thesis_degree_str | Master's |
| title | Comparison of ridge and other shrinkage estimation techniques |
| title_full | Comparison of ridge and other shrinkage estimation techniques |
| title_fullStr | Comparison of ridge and other shrinkage estimation techniques |
| title_full_unstemmed | Comparison of ridge and other shrinkage estimation techniques |
| title_short | Comparison of ridge and other shrinkage estimation techniques |
| title_sort | comparison of ridge and other shrinkage estimation techniques |
| topic | Statistical Sciences |
| url | http://hdl.handle.net/11427/4364 |
| work_keys_str_mv | AT vumbukanibokangc comparisonofridgeandothershrinkageestimationtechniques |