A generalized ridge regression estimator and its finite sample properties

DOI10.1080/03610929908832353MaRDI QIDQ4241685zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

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

Cited in

(18)

• A further theoretical result for generalized ridge regression estimators
• Some theoretical results for generalized ridge regression estimators
• Exact moments of feasible generalized ridge regression estimator and numerical evaluations
• Geometry and properties of generalized ridge regression in high dimensions
• scientific article; zbMATH DE number 5811354 (Why is no real title available?)
• A note on the moments of stochastic shrinkage parameters in ridge regression
• THE DISTRIBUTION OF STOCHASTIC SHRINKAGE PARAMETERS IN RIDGE REGRESSION
• Model averaging estimator in ridge regression and its large sample properties
• Risk performance of a pre-test ridge regression estimator under the LINEX loss function when each individual regression coefficient is estimated
• A non stochastic ridge regression estimator and comparison with the James-Stein estimator
• MSE performance of a heterogeneous pre-test ridge regression estimator
• On exact small sample properties of ordinary ridge estimators
• scientific article; zbMATH DE number 3963013 (Why is no real title available?)
• Performance of some ridge estimators for the gamma regression model
• Fast Cross-validation for Multi-penalty High-dimensional Ridge Regression
• Some properties of the distribution of an operational ridge estimator
• Bounds of the F-ratio incorporating the ordinary ridge regression estimator
• Mean Squared Error Matrix Comparisons of Some Biased Estimators in Linear Regression

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