A monte carlo comparison of some ridge and other biased estimators

DOI10.1080/00949657908810317zbMath0438.62060OpenAlexW2080253836MaRDI QIDQ3880121

Robert F. Ling, Amitava Mitra

Publication date: 1979

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949657908810317

zbMATH Keywords

mean square errorordinary least squaresMSEmulticollinearityridge estimatorbiased estimatorsquared loss

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Factorial statistical designs (62K15)

Cites Work

• Unnamed Item
• Families of minimax estimators of the mean of a multivariate normal distribution
• A Note on the Generation of Random Normal Deviates
• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression
• A simulation study of ridge and other regression estimators
• The Efficiency of Cox's Likelihood Function for Censored Data
• Estimating the Mean of a Multivariate Normal Population with General Quadratic Loss Function

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