METHODOLOGY:

An American reserachers Hoerl and Kennard(1970) who was the first to

shown that the shrinkage parameter K that minimize the mean square error
i.,e
σˆ2
KOLS = i (1)
αˆ2 i

ˆ2i
where σˆi2 =
Pp
i=1 n−p

σˆi2
KHK = (2)
α2ˆ
max

Kibria (2003) suggest some new algorithms of ridge parameter K by using

median and geometric mean such as:

σˆ2
KGM = Pp i (3)
( i=1 αˆi2 )1/p

σˆi2
KM ED = M edian( ) (4)
αˆ2 i

Khalaf and Shukur (2013) proposed the estimators as a modification in KHK

as:
tmax
KM S = Pp KHK (5)
i=1 |α̂i |

Muniz and Kibria (2009) suggested the new technique for estimation the
parameter K by
susing square root transformation.
σˆi2
Suppose mi = , then following estimators are:
αˆ2
i

p
ti σˆ2
)1 /p
Y
KM 1 = ( 2 2
(6)
i=1 (n − p)σ̂ + ti α̂i

1
KM 2 = max( ) (7)
mi
KM 3 = max(mi ) (8)
p
Y 1 1/p
KM 4 = ( ) (9)
i=1 mi

1
 p
mi )1/p
Y
KM 5 = ( (10)
i=1

1
KM 6 = median( ) (11)
mi
KM 7 = median(mi ) (12)

Some researches used the number of variables between 2 to 4 and generate

data from normal distribution but we take different samples sizes and more
variables. Also generate data from normal as well as t-dist.

G.M = quantile(wj , probs = c(0.05, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.75, 0.8, 0.9, 0.95, 0.99))×
(0.25)1/2

(log(0.25) + 1)
gamma = (13)
log(G.M ) − log(quantile(wj , probs = 0.75))

In this paper we suggested the new technique of ridge parameter γ applied

on previous papers Muniz(2009) and Kibria(2003) that much better perform
then these. s
σˆi2
Suppose fi = , then the following estimators are:
γˆ2
i

s
σ̂ 2
fi = (14)
γ̂ 2

q is existing (in khalaf paper 2009)

s
tmax σ̂
qi = (15)
(n − p)σ̂ + tmax α̂2
s
λσ̂
si = (16)
(n − p)σ̂ + λγ̂ 2
σ̂
f1 = (17)
max (γ 2 )
f2 = median(fi ) (18)
f3 = max(fi ) (19)
p
1
( )1/p
Y
f4 = (20)
i=1 si

2
 1
f5 = max( ) (21)
si
pσ̂ 2
f6 = Pp i 2 (22)
i=1 γ
tmax
f7 = Pp KHK (23)
i=1 |γ̂|