Abstract
In this paper we introduce a new class of estimators, ridge type M-estimators, designed for analyzing linear regression models when regressor variables are multicollinear and residual distributions display long tails. The estimators are defined as weighted maximum likelihood type (M-) estimators when additional information about the parameters is given. An example shows that conclusions based on a ridge type M-estimator can be rather different from conclusions based on the M-es-timator and from the ordinary ridge regression estimator.
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© 1985 Springer-Verlag Berlin Heidelberg
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Nyquist, H. (1985). Ridge Type M-Estimators. In: Caliński, T., Klonecki, W. (eds) Linear Statistical Inference. Lecture Notes in Statistics, vol 35. Springer, New York, NY. https://doi.org/10.1007/978-1-4615-7353-1_20
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DOI: https://doi.org/10.1007/978-1-4615-7353-1_20
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-96255-9
Online ISBN: 978-1-4615-7353-1
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