EXACT FINITE-SAMPLE PROPERTIES OF A PRE-TEST ESTIMATOR IN RIDGE REGRESSION

DOI10.1111/j.1467-842X.1984.tb00456.xzbMath0568.62066MaRDI QIDQ3685029

David E. A. Giles, Virendra K. Srivastava

Publication date: 1984

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.1984.tb00456.x

zbMATH Keywords

preliminary test; least squares estimate; biased estimation; orthogonal regressors; exact finite-sample bias and mean squared error; pre-test regression estimator; ridge regression estimate

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

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