A non stochastic ridge regression estimator and comparison with the James-Stein estimator

DOI10.1080/03610926.2013.879892MaRDI QIDQ2811432zbMATH OpenOpenAlexFDO

Authors Luis Firinguetti, Hernán Rubio, Y. P. Chaubey

Publication date 10 June 2016

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

Full work available at URL https://doi.org/10.1080/03610926.2013.879892

zbMATH Keywords

ridge regressionmulticollinearitymean square errorJames-Stein estimator

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• A generalized ridge regression estimator and its finite sample properties
• On Some Ridge Regression Estimators: An Empirical Comparisons
• Performance of Kibria's method for the heteroscedastic ridge regression model: some Monte Carlo evidence
• Performance of Some New Ridge Regression Estimators

Cited in

(2)

• A Stein rule estimator which shrinks towards the ridge regression estimator
• Shrinkage estimators for prediction out-of-sample: conditional performance

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