Generalized ridge estimator and model selection criteria in multivariate linear regression
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Publication:1742745
Abstract: We propose new model selection criteria based on generalized ridge estimators dominating the maximum likelihood estimator under the squared risk and the Kullback-Leibler risk in multivariate linear regression. Our model selection criteria have the following favorite properties: consistency, unbiasedness, uniformly minimum variance. Consistency is proven under an asymptotic structure where is the sample size and is the parameter dimension of the response variables. In particular, our proposed class of estimators dominates the maximum likelihood estimator under the squared risk even when the model does not include the true model. Experimental results show that the risks of our model selection criteria are smaller than the ones based on the maximum likelihood estimator and that our proposed criteria specify the true model under some conditions.
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Cited in
(15)- Generalized multivariate ridge regression estimate and criteria Q(c) for choosing matrix K^*
- Selection of model selection criteria for multivariate ridge regression
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