UNBIASED ESTIMATION OF THE MEAN SQUARED ERROR OF THE FEASIBLE GENERALIZED RIDGE-REGRESSION ESTIMATOR

被引：5

作者：

SRIVASTAVA, VK

GILES, DEA

机构：

[1] UNIV LUCKNOW,DEPT STAT,LUCKNOW 226007,UTTAR PRADESH,INDIA

[2] UNIV CANTERBURY,DEPT ECON,CHRISTCHURCH 1,NEW ZEALAND

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1991年 / 20卷 / 08期

关键词：

RIDGE REGRESSION; ESTIMATED EFFICIENCY; MULTICOLLINEARITY;

D O I：

10.1080/03610929108830639

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The paper derives an exact unbiased estimator of the mean squared error of the feasible generalised ridge regression estimator for a linear regression coefficient. This provides the basis for calculating the standard error of such an estimator in a meaningful way.

引用

页码：2375 / 2386

页数：12

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