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:	Hafner, Christian Matthias ; de Boer, P.M.C.
Institutions:	Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Subject:	MSE performance \| general ridge estimator

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

Persistent link: https://www.econbiz.de/10010731626