The restricted least squares estimator and ridge regression

DOI10.1080/03610928408828674zbMath0558.62058OpenAlexW2135646985MaRDI QIDQ3223725

Richard William Farebrother

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1080/03610928408828674

zbMATH Keywords

necessary and sufficient conditionspositive semidefinite matrixordinary least squares estimatorcomparison studyrestricted least squares estimatorgeneralization of the ordinary ridge estimatormean square error matrices

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (6)

Shrinking toward submodels in regression ⋮ Characterizations of admissible linear estimators in the linear model ⋮ More on the restricted ridge regression estimation ⋮ Estimation using the linear regression model with incomplete ellipsoidal restrictions ⋮ Mean squared error comparisons of the modified ridge regression estimator and iiie restricted ridge regression estimator ⋮ Comparisons of the Unbiased Ridge Estimation to the Other Estimations

Cites Work

• Good and optimal ridge estimators
• Ridge regression:some simulations
• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression

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