Search Results - subject:"Ridge estimator"

Robust functional linear regression based on splines

Maronna, Ricardo A.; Yohai, Victor J. - In: Computational Statistics & Data Analysis 65 (2013) C, pp. 46-55

Many existing methods for functional regression are based on the minimization of an L2 norm of the residuals and are therefore sensitive to atypical observations, which may affect the predictive power and/or the smoothness of the resulting estimate. A robust version of a spline-based estimate is...

Persistent link: https://www.econbiz.de/10010871352

Feasible ridge estimator in partially linear models

Roozbeh, M.; Arashi, M. - In: Journal of Multivariate Analysis 116 (2013) C, pp. 35-44

In a partial linear model, some non-stochastic linear restrictions are imposed under a multicollinearity setting. Semiparametric ridge and non-ridge type estimators, in a restricted manifold are defined. For practical use, it is assumed that the covariance matrix of the error term is unknown and...

Persistent link: https://www.econbiz.de/10010665715

Ridge regression revisited

Boer, P.M.C. de; Hafner, C.M. - Erasmus University Rotterdam, Econometric Institute - 2005

. Keywords: general ridge estimator, MSE performance Running head: Ridge Regression Revisited ⁄Econometric Institute, Erasmus … stable matrix X0X +•Ip and that the ridge estimator of fl, ˆfl = (X0X +•Ip)¡1X0y (3) should have a smaller dispersion that … the OLS estimator. To discuss the properties of the ridge estimator, one usually transforms the above linear regression …

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

Ridge regression revisited

Hafner, Christian Matthias; de Boer, P.M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2005

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,...

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

Asymptotic efficiency of ridge estimator in linear and semiparametric linear models

Luo, June - In: Statistics & Probability Letters 82 (2012) 1, pp. 58-62

, we consider the commonly used ridge estimator in linear models. We propose analyzing the ridge estimator for a finite … sample size n and a growing dimension p. The existence and asymptotic normality of the ridge estimator are established under …

Persistent link: https://www.econbiz.de/10011040042