On ridge parameters in logistic regression. (English) Zbl 1225.62098
Summary: This article applies and investigates a number of logistic ridge regression (RR) parameters that are estimable by using the maximum likelihood (ML) method. By conducting an extensive Monte Carlo study, the performances of ML and logistic RR are investigated in the presence of multicollinearity and under different conditions. The simulation study evaluates a number of methods of estimating the RR parameter \(k\) that has recently been developed for use in linear regression analysis. The results from the simulation study show that there is at least one RR estimator that has a lower mean squared error (MSE) than the ML method for all the different evaluated situations.
MSC:
| 62J07 | Ridge regression; shrinkage estimators (Lasso) |
| 62J12 | Generalized linear models (logistic models) |
| 62J02 | General nonlinear regression |
| 65C05 | Monte Carlo methods |
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