Ridge Regression with Non-Zero Priors: Some Monte Carlo Results. Volume II.
Abstract
The report begins with a brief description of the analytic setting in which regression methods are applied in defense systems costing. Because of the characteristics of the data with which cost analysts typically work, classical least Squares can be a very unsatisfactory estimation procedure. This has prompted a number of analysts to turn to Hoerl and Kennard's relatively new procedure known as Ridge Analysis, or Ridge Regression. It is shown that straightforward application of this method involves an implicit prior assignment of zero values to each of the unknown regression parameters being estimated. A rationale and method for introducing explicit non-zero priors is developed, and the theoretical properties of these estimates are examined. (Modified author abstract)
Document Details
- Document Type
- Technical Report
- Publication Date
- Aug 31, 1973
- Accession Number
- AD0769991
Entities
People
- Henry L. Eskew