Collinearity: revisiting the variance inflation factor in ridge regression
Metadatos
Afficher la notice complèteAuteur
García García, Catalina; García Pérez, José; López Martín, María Del Mar; Salmerón Gómez, RománEditorial
Taylor and Francis
Materia
Multicolinealidad Multicollinearity Ridge Regression Variance inflation factor
Date
2014Referencia bibliográfica
Published version: C.B. García, J. García, M.M. López Martín & R. Salmerón (2015) Collinearity: revisiting the variance inflation factor in ridge regression, Journal of Applied Statistics, 42:3, 648-661. https://doi.org/10.1080/02664763.2014.980789
Patrocinador
Fondos FEDER P09-SEJ-05404; Junta de AndalucíaRésumé
Ridge regression has been widely applied to estimate under collinearity by defining a class of estimators that are dependent on the parameter k. The variance inflation factor (VIF) is applied to detect the presence of collinearity and also as an objective method to obtain the value of k in ridge regression. Contrarily to the definition of the VIF, the expressions traditionally applied in ridge regression do not necessarily lead to values of VIFs equal to or greater than 1. This work presents an alternative expression to calculate the VIF in ridge regression that satisfies the aforementioned condition and also presents other interesting properties.