Ridge regression revisited

Statistica Neerlandica

Volumn 59, Issue 4, 2005, Pages 498-505

  De Boer, Paul M C ^a   Hafner, Christian M ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

General ridge estimator; MSE performance

Indexed keywords

EID: 27144542783     PISSN: 00390402     EISSN: 14679574     Source Type: Journal    
DOI: 10.1111/j.1467-9574.2005.00304.x     Document Type: Article

References (7)

1. GROß, J. (2003), Linear regression, Lecture Notes in Statistics, Springer Verlag.
2. HEMMERLE, W. J. (1975), An explicit solution for generalized ridge regression, Technometrics 17, 309-314.
3. HOERL, A. E. and R. W. KENNARD (1970), Ridge regression: biased estimation for nonorthogonal problems Technometrics 12, 55-67.
4. JUDGE, C. G., R. CARTER HILL, W. E. GRIFFITHS, H. LÜTKEPOHL and T.-C. LEE (1988), Introduction to the theory and practice of econometrics, second edition, Wiley, New York.
5. LAWLESS, J. F. (1981), Mean squared error properties of generalized ridge estimators, Journal of the American Statistical Association 76, 462-466.
6. STRAWDERMAN, W. E. (1978), Minimax adaptive generalized ridge regression estimators, Journal of the American Statistical Association 73, 623-627.
7. TEEKENS, R. and P. M. C. DE BOER (1977), The exact MSE-efficiency of the general ridge estimator relative to OLS, Econometric Institute, Erasmus University Rotterdam, available at http://www.few.eur.nl/few/people/pmdeboer.