Ridge regression revisited

Paul de Boer and Christian Hafner

No EI 2005-29, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We argue in this paper that general ridge (GR) regression implies no major complication compared with simple ridge regression. We introduce a generalization of an explicit GR estimator derived by Hemmerle and by Teekens and de Boer and show that this estimator, which is more conservative, performs better than the Hoerl and Kennard estimator in terms of a weighted quadratic loss criterion.

Keywords: MSE performance; general ridge estimator (search for similar items in EconPapers)
Date: 2005-08-31
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://repub.eur.nl/pub/6919/ei200529.pdf (application/pdf)

Related works:
Journal Article: Ridge regression revisited (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:6919

Access Statistics for this paper

More papers in Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Contact information at EDIRC.
Bibliographic data for series maintained by RePub ( this e-mail address is bad, please contact ).