Zahid, Faisal Maqbool and Tutz, Gerhard
Ridge Estimation for Multinomial Logit Models with Symmetric Side Constraints.
Department of Statistics: Technical Reports, No.67
In multinomial logit models, the identifiability of parameter estimates is typically obtained by side constraints that specify one of the response categories as reference category. When parameters are penalized, shrinkage of estimates should not depend on the reference category. In this paper we investigate ridge regression for the multinomial logit model with symmetric side constraints, which yields parameter estimates that are independent of the reference category. In simulation studies the results are compared with the usual maximum likelihood estimates and an application to real data is given.