A STUDY ON TESTS OF HYPOTHESIS BASED ON RIDGE ESTIMATOR

Abstract

The literature of Ridge regression include many articles that deal with point estimation of the coefficients vector . However, few of them tackle the statistical inference problem about or some of its components. One of them is introduced by Halawa and Basuiouni[1] who present non-exact tests based on Ridge regression by using two different biasing parameters (k) which are proposed by Hoerl and Kennard [2] and Hoerl et al. [3]. Thus, we investigate others popular k values used the Ridge regression for testing significance of regression coefficients. We compare tests in terms of type I error rates and powers by using Monte Carlo simulation. In addition, a real data example is presented.