Restricted ridge estimation

Jürgen Groß

Statistics & Probability Letters, 2003, vol. 65, issue 1, 57-64

Abstract: In this paper, we introduce a ridge estimator for the vector of parameters in a linear regression model when additional linear restrictions on the parameter vector are assumed to hold. The estimator is a generalization of the well-known restricted least-squares estimator and is confined to the (affine) subspace which is generated by the restrictions. Necessary and sufficient conditions for the superiority of the new estimator over the restricted least-squares estimator are derived. Our new estimator is not to be confounded with the restricted ridge regression estimator introduced by Sarkar (Comm. Statist. Theory Methods 21 (1992) 1987).

Keywords: Least; squares; Linear; restrictions; Matrix; risk; Ridge; estimator; Shrinkage (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (16)

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