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Tolerance intervals from ridge regression in the presence of multicollinearity and high dimension

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  • Park, Junyong

Abstract

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.

Suggested Citation

  • Park, Junyong, 2017. "Tolerance intervals from ridge regression in the presence of multicollinearity and high dimension," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 128-135.
    • Handle: RePEc:eee:stapro:v:121:y:2017:i:c:p:128-135
    DOI: 10.1016/j.spl.2016.10.016
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    References listed on IDEAS

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    1. Luis Firinguetti & Gladys Bobadilla, 2011. "Asymptotic confidence intervals in ridge regression based on the Edgeworth expansion," Statistical Papers, Springer, vol. 52(2), pages 287-307, May.
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