The predictive power of ridge regression: Some quasi-simulation results

Abstract

Reviews research indicating that ridge regression tends to improve the mean square error of prediction obtained with ordinary least squares (OLS) regression in a wide range of conditions. MMPI profiles of 861 psychiatric patients and diagnoses from 29 psychologists, as collected by P. E. Meehl (see record 1960-04396-001 ), were used to examine the gains in cross-validated multiple correlation obtained with ridge regression compared with OLS and equal weights as a function of sample size and ridge constant. A simple formula for estimating the ridge constant was also evaluated. Results that are related to recent developments concerning the use of Bayesian regression procedures show that ridge regression improves both the mean square error of prediction and the cross-validated multiple correlation obtained with OLS when the ratio sample size to number of predictor variables is relatively small. (19 ref) (PsycInfo Database Record (c) 2025 APA, all rights reserved)