The Exact General Formulas for the Moments of a Ridge Regression Estimator when the Regression Error Terms Follow a MultivariatetDistribution

DOI10.1080/03610926.2011.558660zbMath1271.62156OpenAlexW2062113268MaRDI QIDQ2920078

Hai-Feng Xu

Publication date: 23 October 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.558660

zbMATH Keywords

mean squared errorridge regressionordinary least squares estimatormultivariate Student's \(t\) error terms

Mathematics Subject Classification ID

Related Items (2)

PMSE performance of two different types of preliminary test estimators under a multivariate t error term ⋮ MSE performance and minimax regret significance points for a HPT estimator under a multivariate t error distribution

Cites Work

• Preliminary test ridge regression estimators with Student's \(t\) errors and conflicting test-statis\-tics
• Improving the estimation precision for a selected parameter in multiple regression analysis: An algebraic approach
• Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances
• The matrix-\(t\) distribution and its applications in predictive inference
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