Restricted ridge estimation
In 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).
Volume (Year): 65 (2003)
Issue (Month): 1 (October)
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