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The Mean Squared Error of the Generalized Ridge Regression Estimator and the Orientation of β

 

作者: Jeffrey L. Pliskin,  

 

期刊: Communications in Statistics - Simulation and Computation  （Taylor Available online 1990）
卷期: Volume 19, issue 4  

页码: 1477-1484

 

ISSN:0361-0918

 

年代: 1990

 

DOI:10.1080/03610919008812930

 

出版商: Marcel Dekker, Inc.

 

关键词: biased estimation;Monte Carlo experiment;linear regression model;prediction;multicollinearity

 

数据来源: Taylor

 

摘要:

Newhouse and Oman (1971) identified the orientations with respect to the eigenvectors of X'X of the true coefficient vector of the linear regression model for which the ordinary ridge regression estimator performs best and performs worse when mean squared error is the measure of performance. In this paper the corresponding result is derived for generalized ridge regression for two risk functions: mean squared error and mean squared error of prediction.

 

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