Shrinkage ridge regression in partial linear models

Mahdi Roozbeh and Mohammad Arashi

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 20, 6022-6044

Abstract: In this paper, shrinkage ridge estimator and its positive part are defined for the regression coefficient vector in a partial linear model. The differencing approach is used to enjoy the ease of parameter estimation after removing the non parametric part of the model. The exact risk expressions in addition to biases are derived for the estimators under study and the region of optimality of each estimator is exactly determined. The performance of the estimators is evaluated by simulated as well as real data sets.

Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/03610926.2014.955115

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