The general expressions for the moments of lawless and wang's ordinary ridge regression estimator
作者： Hideo Kozumi , Kazuhiro Ohtani
DOI: 10.1080/03610929408831414
关键词:
摘要: In this paper, we derive the exact general expressions for moments of an ordinary ridge regression (ORR) estimator individual coefficients in a different way from Firinguetti (1987). Using derived expressions, evaluate numerically first four ORR estimator, and examine its bias, mean square error, skewness kurtosis. Further, Monte Carlo experiments are carried out order to shape density function estimator.
sci-hub.se 参考文章(10)
Kazuhiro Ohtani, SMALL SAMPLE PROPERTIES OF THE GENERALIZED RIDGE REGRESSION PREDICTOR UNDER SPECIFICATION ERROR The Economic studies quarterly. ,vol. 36, pp. 53- 60 ,(1985) , 10.11398/ECONOMICS1950.36.1_53
Luis Firinguetti, The exact properties of the lawless and wang operational ridge regression estimator in a misspecified regression equation Communications in Statistics - Simulation and Computation. ,vol. 20, pp. 689- 714 ,(1991) , 10.1080/03610919108812978
Lusi Firinguetti, Exact moments of lawless and wang's operational ridge regression estimator Communications in Statistics-theory and Methods. ,vol. 16, pp. 731- 745 ,(1987) , 10.1080/03610928708829399
Diane Galarneau Gibbons, A Simulation Study of Some Ridge Estimators Journal of the American Statistical Association. ,vol. 76, pp. 131- 139 ,(1981) , 10.1080/01621459.1981.10477619
Arthur E. Hoerl, Robert W. Kennard, Ridge regression: biased estimation for nonorthogonal problems Technometrics. ,vol. 42, pp. 80- 86 ,(2000) , 10.2307/1271436
T. D. Dwivedi, V. K. Srivastava, R. L. Hall, Finite Sample Properties of Ridge Estimators Technometrics. ,vol. 22, pp. 205- 212 ,(1980) , 10.1080/00401706.1980.10486136
Arthur E. Hoerl, Robert W. Kannard, Kent F. Baldwin, Ridge regression:some simulations Communications in Statistics-theory and Methods. ,vol. 4, pp. 105- 123 ,(1975) , 10.1080/03610927508827232
Lawless J. F., Wang P, A simulation study of ridge and other regression estimators Communications in Statistics-theory and Methods. ,vol. 5, pp. 307- 323 ,(1976) , 10.1080/03610927608827353
Kazuhiro Ohtani, Distribution and density functions of the feasible generalized ridge regression estimator Communications in Statistics-theory and Methods. ,vol. 22, pp. 2733- 2746 ,(1993) , 10.1080/03610929308831182
V. K. Srivastava, D. E. A. Giles, EXACT FINITE‐SAMPLE PROPERTIES OF A PRE‐TEST ESTIMATOR IN RIDGE REGRESSION Australian & New Zealand Journal of Statistics. ,vol. 26, pp. 323- 336 ,(1984) , 10.1111/J.1467-842X.1984.TB00456.X