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An Analytical Shrinkage Estimator for Linear Regression

Author

Listed:
  • Lassance, Nathan

    (Université catholique de Louvain, LIDAM/LFIN, Belgium)

Abstract

We derive an analytical solution to the optimal shrinkage of OLS regression coefficients toward a constant target, under any first two moments of predictors. The estimator closely mimics the prediction performance of ridge penalty, which admits no general analytical solution.

Suggested Citation

  • Lassance, Nathan, 2023. "An Analytical Shrinkage Estimator for Linear Regression," LIDAM Reprints LFIN 2023003, Université catholique de Louvain, Louvain Finance (LFIN).
    • Handle: RePEc:ajf:louvlr:2023003
    DOI: https://doi.org/10.1016/j.spl.2022.109760
    Note: In: Statistics & Probability Letters, 2023, vol. 194, 109760
    as

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