Modified Cp Criterion for Optimizing Ridge and Smooth Parameters in the MGR Estimator for the Nonparametric GMANOVA Model

• 作者: Isamu Nagai
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: Generalized RIDGE regression GMANOVA MODEL Mallows' statistic Non-iterative ESTIMATOR SHRINKAGE ESTIMATOR VARYING coefficient MODEL
• 年，卷（期）: 2011,（1）
• 页码范围: 1-14
• 页数: 14页
• 分类号: O1

摘要

Longitudinal trends of observations can be estimated using the generalized multivariate analysis of variance (GMANOVA) model proposed by [10]. In the present paper, we consider estimating the trends nonparametrically using known basis functions. Then, as in nonparametric regression, an overfitting problem occurs. [13] showed that the GMANOVA model is equivalent to the varying coefficient model with non-longitudinal covariates. Hence, as in the case of the ordinary linear regression model, when the number of covariates becomes large, the estimator of the varying coefficient becomes unstable. In the present paper, we avoid the overfitting problem and the instability problem by applying the concept behind penalized smoothing spline regression and multivariate generalized ridge regression. In addition, we propose two criteria to optimize hyper parameters, namely, a smoothing parameter and ridge parameters. Finally, we compare the ordinary least square estimator and the new estimator.