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Asymptotic confidence intervals in ridge regression based on the Edgeworth expansion

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  • Luis Firinguetti
  • Gladys Bobadilla

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  • Luis Firinguetti & Gladys Bobadilla, 2011. "Asymptotic confidence intervals in ridge regression based on the Edgeworth expansion," Statistical Papers, Springer, vol. 52(2), pages 287-307, May.
    • Handle: RePEc:spr:stpapr:v:52:y:2011:i:2:p:287-307
    DOI: 10.1007/s00362-009-0229-5
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    References listed on IDEAS

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    1. Vinod, H. D., 1995. "Double bootstrap for shrinkage estimators," Journal of Econometrics, Elsevier, vol. 68(2), pages 287-302, August.
    2. Sargan, J D, 1975. "Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators," Econometrica, Econometric Society, vol. 43(2), pages 327-346, March.
    3. D. A. Elston & M. F. Proe, 1995. "Smoothing Regression Coefficients in an Overspecified Regression Model with Interrelated Explanatory Variables," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 44(3), pages 395-406, September.
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    Citations

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    Cited by:

    1. Park, Junyong, 2017. "Tolerance intervals from ridge regression in the presence of multicollinearity and high dimension," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 128-135.
    2. David J. Olive, 2018. "Applications of hyperellipsoidal prediction regions," Statistical Papers, Springer, vol. 59(3), pages 913-931, September.
    3. Lasanthi C. R. Pelawa Watagoda & David J. Olive, 2021. "Bootstrapping multiple linear regression after variable selection," Statistical Papers, Springer, vol. 62(2), pages 681-700, April.
    4. Nandana Sengupta & Fallaw Sowell, 2020. "On the Asymptotic Distribution of Ridge Regression Estimators Using Training and Test Samples," Econometrics, MDPI, vol. 8(4), pages 1-25, October.

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