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Original Articles

On the Choice of the Ridge Parameter: A Maximum Entropy Approach

Pages 1628-1638
Received 17 Mar 2010
Accepted 13 Jul 2010
Published online: 27 Aug 2010
 
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In this article, a new method to estimate the ridge parameter, based on the ridge trace and an analytical method borrowed from maximum entropy, is presented. The performance of the new estimator is illustrated through a Monte Carlo simulation study and an empirical application to the well-known Portland cement data set.

Keywords: Ridge regressionRidge parameterRidge traceMaximum entropy
Mathematics Subject Classification: 62J0794A17

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