Estimation of error variance via ridge regression

X Liu, S Zheng and X Feng

Biometrika, 2020, vol. 107, issue 2, 481-488

Abstract: SummaryWe propose a novel estimator of error variance and establish its asymptotic properties based on ridge regression and random matrix theory. The proposed estimator is valid under both low- and high-dimensional models, and performs well not only in nonsparse cases, but also in sparse ones. The finite-sample performance of the proposed method is assessed through an intensive numerical study, which indicates that the method is promising compared with its competitors in many interesting scenarios.

Keywords: High dimension; Random matrix theory; Ridge regression; Variance estimation (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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