Ridge estimation in regression problems with autocorrelated errors: A monte carlo study

DOI10.1080/03610918508812459zbMath0576.62075OpenAlexW2071052785MaRDI QIDQ3696339

Barbara J. Gosling, Martin L. Puterman

Publication date: 1985

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918508812459

zbMATH Keywords

serial correlationsquaresgeneralized least squarescollinearityautocorrelated errorserror varianceridge estimatorsmean squared error performanceordinary least

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Monte Carlo methods (65C05)

Related Items (5)

A Simulation Study of Ridge Regression Estimators with Autocorrelated Errors ⋮ A jackknifed ridge estimator in the linear regression model with heteroscedastic or correlated errors ⋮ Monte Carlo Simulation Study of Biased Estimators in the Linear Regression Models with Correlated or Heteroscedastic Errors ⋮ On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors ⋮ Bayesian Estimation of the Log–linear Exponential Regression Model with Censorship and Collinearity

Cites Work

• Relative efficiencies of some simple Bayes estimators of coefficients in a dynamic equation with serially correlated errors. II
• Generalized ridge regression: a note on negative ridge parameters
• A note on minimum average risk estimators for coefficients in linear models
• Two methods of evaluating hoerl and kennard's ridge regression

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