Ridge regression is a popular regularization method that has wide applicability, as many regression problems can be cast in this form. However, ridge is only seldom applied in the estimation of vector autoregressive models, even though it naturally arises in Bayesian time series modeling. In this work, ridge regression is studied in the context of process estimation and inference of VARs. The effects of shrinkage are analyzed and asymptotic theory is derived enabling inference. Frequentist and Bayesian ridge approaches are compared. Finally, the estimation of impulse response functions is evaluated with Monte Carlo simulations and ridge regression is compared with a number of similar and competing methods.
翻译:山脊回归是一种流行的正规化方法,具有广泛适用性,因为许多回归问题可以以这种形式出现,但是,山脊很少用于矢量自动回归模型的估计,尽管它自然出现在贝叶西亚时间序列模型中。在这项工作中,在流程估算和VARs推论的范围内研究山脊回归。分析了缩小的影响,并得出了无症状理论,从而可以推断。比较了常洋和巴耶斯海脊方法。最后,用蒙特卡洛模拟和山脊回归法对脉冲反应功能的估计进行了评估,并将山脊回归法与一些类似和相互竞争的方法进行了比较。