Ridge regression estimators in the linear regression models with non-spherical errors

DOI10.1080/03610929308831147zbMath0785.62075OpenAlexW2100033000MaRDI QIDQ4275824

Anoop Chaturvedi

Publication date: 31 January 1994

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

Full work available at URL: https://doi.org/10.1080/03610929308831147

zbMATH Keywords

asymptotic expansionEdgeworth expansionquadratic lossgeneralized least squares estimatorasymptotic riskGLS estimatornonspherical errorsdisturbances covariance matrixordinary ridge regression estimators

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20)

Cites Work

• On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors
• Approximate Normality of Generalized Least Squares Estimates

This page was built for publication: Ridge regression estimators in the linear regression models with non-spherical errors