The Exact General Formulas for the Moments of a Ridge Regression Estimator when the Regression Error Terms Follow a MultivariatetDistribution

DOI10.1080/03610926.2011.558660zbMath1271.62156OpenAlexW2062113268MaRDI QIDQ2920078

Hai-Feng Xu

Publication date: 23 October 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.558660

zbMATH Keywords

mean squared errorridge regressionordinary least squares estimatormultivariate Student's \(t\) error terms

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (2)

PMSE performance of two different types of preliminary test estimators under a multivariate t error term ⋮ MSE performance and minimax regret significance points for a HPT estimator under a multivariate t error distribution

Cites Work

• Unnamed Item
• Preliminary test ridge regression estimators with Student's \(t\) errors and conflicting test-statis\-tics
• Improving the estimation precision for a selected parameter in multiple regression analysis: An algebraic approach
• Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances
• The matrix-\(t\) distribution and its applications in predictive inference

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