Covariance structure associated with an equality between two general ridge estimators

DOI10.1007/S00362-017-0975-8zbMATH Open1443.62207OpenAlexW3099876266MaRDI QIDQ779685FDOQ779685

Authors Koji Tsukuda, Hiroshi Kurata 

Publication date 14 July 2020

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.02761

zbMATH Keywords

perturbation approachbest linear unbiased estimatorleast squares estimatorGauss-Markov model

Mathematics Subject Classification ID

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

Abstract: In a general linear model, this paper derives a necessary and sufficient condition under which two general ridge estimators coincide with each other. The condition is given as a structure of the dispersion matrix of the error term. Since the class of estimators considered here contains linear unbiased estimators such as the ordinary least squares estimator and the best linear unbiased estimator, our result can be viewed as a generalization of the well-known theorems on the equality between these two estimators, which have been fully studied in the literature. Two related problems are also considered: equality between two residual sums of squares, and classification of dispersion matrices by a perturbation approach.

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Cited in

(1)

• On Conditions for Equality of OLSE, GLSE and MLE in Analysis of Covariance Structures

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