Restricted ridge estimation
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- Candelon, B. & Hurlin, C. & Tokpavi, S., 2012.
"Sampling error and double shrinkage estimation of minimum variance portfolios,"
Journal of Empirical Finance,
Elsevier, vol. 19(4), pages 511-527.
- 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).
- Bertrand Candelon & Christophe Hurlin & Sessi Tokpavi, 2012. "Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios," Post-Print hal-01385835, HAL.
- M. Alkhamisi & I. MacNeill, 2015. "Recent results in ridge regression methods," METRON, Springer;Sapienza Università di Roma, vol. 73(3), pages 359-376, December.
- 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.
- 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.
- 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.
- 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: International Journal for Theoretical and Applied Statistics, Springer, vol. 73(3), pages 275-292, May.
- Jahufer, Aboobacker & Jianbao, Chen, 2009. "Assessing global influential observations in modified ridge regression," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 513-518, February.
More about this item
KeywordsLeast squares Linear restrictions Matrix risk Ridge estimator Shrinkage;
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