Improved ridge estimators in a linear regression model

Xu-Qing Liu, Feng Gao and Zhen-Feng Yu

Journal of Applied Statistics, 2013, vol. 40, issue 1, 209-220

Abstract: In this paper, the notion of the improved ridge estimator (IRE) is put forward in the linear regression model y = X β + e . The problem arises if augmenting the equation 0 = c ′ α + ε instead of 0 = C α + ϵ to the model. Three special IREs are considered and studied under the mean-squared error criterion and the prediction error sum of squares criterion. The simulations demonstrate that the proposed estimators are effective and recommendable, especially when multicollinearity is severe.

Date: 2013
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DOI: 10.1080/02664763.2012.740623

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