A note on adaptive generalized ridge regression estimator

Song-Gui Wang and Shein-Chung Chow

Statistics & Probability Letters, 1990, vol. 10, issue 1, 17-21

Abstract: The problem of estimating parameters in a linear regression model is considered. A class of adaptive generalized ridge estimator is proposed. It is shown that the proposed estimator has smaller mean squared error than the least squares estimator under some mild conditions on the constants that involved in the ridge parameters.

Keywords: Ridge; estimator; ridge; parameter; canonical; form; least; squares; estimator; (LSE); mean; sequared; error; (MSE) (search for similar items in EconPapers)
Date: 1990
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