Restricted ridge estimation
AbstractIn this paper, we introduce a ridge estimator for the vector of parameters in a linear regression model when additional linear restrictions on the parameter vector are assumed to hold. The estimator is a generalization of the well-known restricted least-squares estimator and is confined to the (affine) subspace which is generated by the restrictions. Necessary and sufficient conditions for the superiority of the new estimator over the restricted least-squares estimator are derived. Our new estimator is not to be confounded with the restricted ridge regression estimator introduced by Sarkar (Comm. Statist. Theory Methods 21 (1992) 1987).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 65 (2003)
Issue (Month): 1 (October)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Hu Yang & Jianwen Xu, 2011. "Preliminary test Liu estimators based on the conflicting W, LR and LM tests in a regression model with multivariate Student-t error," Metrika, Springer, vol. 73(3), pages 275-292, May.
- Roozbeh, M. & Arashi, M., 2013. "Feasible ridge estimator in partially linear models," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 35-44.
- Özkale, M. Revan, 2009. "A stochastic restricted ridge regression estimator," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1706-1716, September.
- M. Alkhamisi, 2010. "Simulation study of new estimators combining the SUR ridge regression and the restricted least squares methodologies," Statistical Papers, Springer, vol. 51(3), pages 651-672, September.
- Jahufer, Aboobacker & Jianbao, Chen, 2009. "Assessing global influential observations in modified ridge regression," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 513-518, February.
- Candelon Bertrand & Hurlin Christophe & Tokpavi Sessi, 2011. "Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios," Research Memorandum 002, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Yalian Li & Hu Yang, 2010. "A new stochastic mixed ridge estimator in linear regression model," Statistical Papers, Springer, vol. 51(2), pages 315-323, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.