The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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A Ridge-type Estimator For Generalized Linear Models

일반화 선형모형에서의 능형형태의 추정량

  • Byoung Jin Ahn (Department of Applied Statistics, Kon-Kuk University, Seoul 133-701, Korea)
  • Published : 1994.02.01
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Abstract

It is known that collinearity among the explanatory variables in generalized linear models inflates the variance of maximum likelihood estimators. A ridge-type estimator is presented using penalized likelihood. A method for choosing a shrinkage parameter is discussed and this method is based on a prediction-oriented criterion, which is Mallow's $C_L$ statistic in a linear regression setting.

일반화 선형모형에서도 회귀모형에서와 마찬가지로 다공선성이 존재할 경우 여러가지 문제가 발생한다. 이를 극복하기 위한 한가지 방법으로 능형형태의 추정량과 그의 축소 모수를 결정하는 방법에 대하여 다루었다.

Keywords

References

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