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Biased-Recovering Algorithm to Solve a Highly Correlated Data System  

이미영 (건국대학교 경영대학 경영정보학과)
Publication Information
Journal of the Korean Operations Research and Management Science Society / v.28, no.3, 2003 , pp. 61-66 More about this Journal
Abstract
In many multiple regression analyses, the “multi-collinearity” problem arises since some independent variables are highly correlated with each other. Practically, the Ridge regression method is often adopted to deal with the problems resulting from multi-collinearity. We propose a better alternative method using iteration to obtain an exact least squares estimator. We prove the solvability of the proposed algorithm mathematically and then compare our method with the traditional one.
Keywords
Ridge Regression; Least Squares; Eigenvalue; Correlation Matrix; Iteration;
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