A generalized ridge regression estimator and its finite sample properties

DOI10.1080/03610929908832353zbMath0919.62069OpenAlexW1592191020MaRDI QIDQ4241685

Luis Firinguetti

Publication date: 26 May 1999

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

Full work available at URL: https://doi.org/10.1080/03610929908832353

zbMATH Keywords

ridge regressioncollinearityfinite sample moments

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (6)

MSE Performance of a Heterogeneous Pre-Test Ridge Regression Estimator ⋮ Fast Cross-validation for Multi-penalty High-dimensional Ridge Regression ⋮ Risk performance of a pre-test ridge regression estimator under the LINEX loss function when each individual regression coefficient is estimated ⋮ Mean Squared Error Matrix Comparisons of Some Biased Estimators in Linear Regression ⋮ A non stochastic ridge regression estimator and comparison with the James-Stein estimator ⋮ Performance of some ridge estimators for the gamma regression model

Cites Work

• Some properties of generalized ridge estimators
• An Explicit Solution for Generalized Ridge Regression
• A Class of Biased Estimators in Linear Regression
• Ridge Regression in Practice
• Explicit and Constrained Generalized Ridge Estimation
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Ridge Regression: Applications to Nonorthogonal Problems

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