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On some improved ridge estimators

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Summary

In this paper two variants of ridge estimators are proposed. One is a linear function of the generalized ridge estimator (GRE) of Hoerl and Kennard and the other is a convex combination of OLSE and GRE. These seem to have some desirable properties. Operational versions are studied using simulation.

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References

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Author information

Correspondence to Balvir Singh.

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Singh, B., Chaubey, Y.P. On some improved ridge estimators. Statistische Hefte 28, 53–67 (1987). https://doi.org/10.1007/BF02932590

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Key Words

  • Jackknife method
  • Generalized Ridge Estimator