Ridge regression estimators in the linear regression models with non-spherical errors

DOI10.1080/03610929308831147MaRDI QIDQ4275824zbMATH OpenOpenAlexFDO

Authors Anoop Chaturvedi

Publication date 31 January 1994

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

Full work available at URL https://doi.org/10.1080/03610929308831147

zbMATH Keywords

asymptotic expansionasymptotic riskdisturbances covariance matrixEdgeworth expansiongeneralized least squares estimatorGLS estimatornonspherical errorsordinary ridge regression estimatorsquadratic loss

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• Approximate Normality of Generalized Least Squares Estimates
• On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors

Cited in

(10)

• Ridge Estimation in Linear Models with Autocorrelated Errors
• On some ridge regression estimators: a nonparametric approach
• scientific article; zbMATH DE number 5799955 (Why is no real title available?)
• scientific article; zbMATH DE number 3879946 (Why is no real title available?)
• Extension of the ridge regression technique to non-linear models with additive errors
• Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances
• Asymptotic Aspects of Ordinary Ridge Regression
• Multicolinearity and ridge regression: results on type I errors, power and heteroscedasticity
• Ridge regression and asymptotic minimax estimation over spheres of growing dimension
• Ridge parameter estimation for the linear regression model under different loss functions using T-K approximation

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