Confidence Intervals for Ridge Regression Parameters

Author(s):  
H. D. Vinod
1995 ◽  
Vol 24 (3) ◽  
pp. 631-652 ◽  
Author(s):  
Ana Crivelli ◽  
Luis Firinguetti ◽  
Rosa Montaño ◽  
Margarita Muñóz

Dose-Response ◽  
2005 ◽  
Vol 3 (3) ◽  
pp. dose-response.0 ◽  
Author(s):  
Shyamal D. Peddada ◽  
Joseph K. Haseman

Regression models are routinely used in many applied sciences for describing the relationship between a response variable and an independent variable. Statistical inferences on the regression parameters are often performed using the maximum likelihood estimators (MLE). In the case of nonlinear models the standard errors of MLE are often obtained by linearizing the nonlinear function around the true parameter and by appealing to large sample theory. In this article we demonstrate, through computer simulations, that the resulting asymptotic Wald confidence intervals cannot be trusted to achieve the desired confidence levels. Sometimes they could underestimate the true nominal level and are thus liberal. Hence one needs to be cautious in using the usual linearized standard errors of MLE and the associated confidence intervals.


2012 ◽  
Vol 51 (1) ◽  
pp. 67-73
Author(s):  
Hiroto Hyakutake

ABSTRACT There are several linear and nonlinear models for analyzing repeated measurements. The mean response for an individual depends on the regression parameters specific to that individual. One of the simple forms is the sum of vectors of fixed parameters and random effects. When the models with mixed effects for several groups are parallel, pairwise comparisons of level differences are considered. For the comparisons, approximate simultaneous confidence intervals are given.


1985 ◽  
Vol 10 (3) ◽  
pp. 211-221
Author(s):  
Gottfried E. Noether

The paper presents a unified approach to some of the more popular nonparametric methods in current use. The approach provides the reader with new insights by exhibiting relationships to relevant population parameters, such as location and scale parameters for the one- and two-sample problems and regression parameters for bivariate data. For each parameter, a set of so-called elementary estimates is defined. The elementary estimates are then used to determine point estimates, confidence intervals, and test statistics for testing relevant nonparametric hypotheses. Among the tests discussed are the sign test, the Wilcoxon one- and two-sample tests, and Kendall’s test of independence.


2007 ◽  
Vol 20 (12) ◽  
pp. 2810-2826 ◽  
Author(s):  
Timothy DelSole

Abstract This paper presents a framework based on Bayesian regression and constrained least squares methods for incorporating prior beliefs in a linear regression problem. Prior beliefs are essential in regression theory when the number of predictors is not a small fraction of the sample size, a situation that leads to overfitting—that is, to fitting variability due to sampling errors. Under suitable assumptions, both the Bayesian estimate and the constrained least squares solution reduce to standard ridge regression. New generalizations of ridge regression based on priors relevant to multimodel combinations also are presented. In all cases, the strength of the prior is measured by a parameter called the ridge parameter. A “two-deep” cross-validation procedure is used to select the optimal ridge parameter and estimate the prediction error. The proposed regression estimates are tested on the Development of a European Multimodel Ensemble System for Seasonal to Interannual Prediction (DEMETER) hindcasts of seasonal mean 2-m temperature over land. Surprisingly, none of the regression models proposed here can consistently beat the skill of a simple multimodel mean, despite the fact that one of the regression models recovers the multimodel mean in a suitable limit. This discrepancy arises from the fact that methods employed to select the ridge parameter are themselves sensitive to sampling errors. It is plausible that incorporating the prior belief that regression parameters are “large scale” can reduce overfitting and result in improved performance relative to the multimodel mean. Despite this, results from the multimodel mean demonstrate that seasonal mean 2-m temperature is predictable for at least three months in several regions.


2020 ◽  
Vol 10 (10) ◽  
pp. 737
Author(s):  
Usman Rashid ◽  
Nitika Kumari ◽  
Nada Signal ◽  
Denise Taylor ◽  
Alain C. Vandal

Single and double exponential models fitted to step length symmetry series are used to evaluate the timecourse of adaptation and de-adaptation in instrumented split-belt treadmill tasks. Whilst the nonlinear regression literature has developed substantially over time, the split-belt treadmill training literature has not been fully utilising the fruits of these developments. In this research area, the current methods of model fitting and evaluation have three significant limitations: (i) optimisation algorithms that are used for model fitting require a good initial guess for regression parameters; (ii) the coefficient of determination (R2) is used for comparing and evaluating models, yet it is considered to be an inadequate measure of fit for nonlinear regression; and, (iii) inference is based on comparison of the confidence intervals for the regression parameters that are obtained under the untested assumption that the nonlinear model has a good linear approximation. In this research, we propose a transformed set of parameters with a common language interpretation that is relevant to split-belt treadmill training for both the single and double exponential models. We propose parameter bounds for the exponential models which allow the use of particle swarm optimisation for model fitting without an initial guess for the regression parameters. For model evaluation and comparison, we propose the use of residual plots and Akaike’s information criterion (AIC). A method for obtaining confidence intervals that does not require the assumption of a good linear approximation is also suggested. A set of MATLAB (MathWorks, Inc., Natick, MA, USA) functions developed in order to apply these methods are also presented. Single and double exponential models are fitted to both the group-averaged and participant step length symmetry series in an experimental dataset generating new insights into split-belt treadmill training. The proposed methods may be useful for research involving analysis of gait symmetry with instrumented split-belt treadmills. Moreover, the demonstration of the suggested statistical methods on an experimental dataset may help the uptake of these methods by a wider community of researchers that are interested in timecourse of motor training.


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