A note on adaptive generalized ridge regression estimator

The problem of estimating parameters in a linear regression model is considered. A class of adaptive generalized ridge estimator is proposed. It is shown that the proposed estimator has smaller mean squared error than the least squares estimator under some mild conditions on the constants that involved in the ridge parameters.

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Year of publication:	1990
Authors:	Wang, Song-Gui ; Chow, Shein-Chung
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 10.1990, 1, p. 17-21
Publisher:	Elsevier
Keywords:	Ridge estimator ridge parameter canonical form least squares estimator (LSE) mean sequared error (MSE)

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259099