Volume 6, Issue 1, Winter 2005, Page 1-182


Empirical Bayes and Bayes for Ridge regression

Muhannad Faiz Al-Sadoun

AL-Qadisiyah Journal For Administrative and Economic sciences, 2005, Volume 6, Issue 1, Pages 169-182

In this paper , we consider the problem of estimating the regression parameters in a multiple linear regression model , when the multicollinearity is present under the assumption of normality , we present two types , empirical Bayes and Bayes . One of them shrinks the least squares (LS) estimator towards the principal component .The second type is a hierarchical Bayesian model . A simulation example is given .