More on the unbiased ridge regression estimation

Jibo Wu () and Hu Yang ()

Statistical Papers, 2016, vol. 57, issue 1, 42 pages

Abstract: This paper considers the performance of the unbiased ridge estimator (Crouse et al. Commun Stat Theory Methods 24:2341–2354, 1995 ) over the ordinary least squares estimator of the regression parameter using the Pitman’s closeness criterion. Then, we introduce a new variance components estimator based on the unbiased ridge estimator. Furthermore we show that the new variance components estimator has smaller mean squared error than the variance components estimator based on the ordinary least squares estimator. A simulation study has been presented to compare the performance of the estimators, and a numerical example has been proposed to explain the performance of the estimators. Copyright Springer-Verlag Berlin Heidelberg 2016

Keywords: Mean squared error; Ordinary least squares estimator; Pitman’s closeness criterion; Unbiased ridge estimator (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s00362-014-0637-z

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