Ridge regression revisited

We argue in this paper that general ridge (GR) regression implies no major complication compared with simple ridge regression. We introduce a generalization of an explicit GR estimator derived by Hemmerle and by Teekens and de Boer and show that this estimator, which is more conservative, performs better than the Hoerl and Kennard estimator in terms of a weighted quadratic loss criterion.

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Year of publication:	2005-08-31
Authors:	Boer, P.M.C. de ; Hafner, C.M.
Institutions:	Erasmus University Rotterdam, Econometric Institute
Subject:	general ridge estimator \| MSE performance

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Extent:	application/pdf
Series:	Econometric Institute Report. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureir Number EI 2005-29
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005450880