Ridge Autoregression Estimation: LS Method |
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| Authors: | A K MD Ehsanes Saleh Amal F Ghania |
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| Institution: | 1. School of Mathematics and Statistics, Carleton University, Ottawa, Canadaesaleh@math.carleton.ca;3. School of Mathematics and Statistics, Carleton University, Ottawa, Canada |
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| Abstract: | In an AR (p)-model, least-squares estimation of the parameters is considered when it is suspected that the parameters may belong to a linear subspace and the estimated covariance matrix is ill-conditioned. Accordingly, we define five estimators and study their properties in an asymptotic setup to discover dominance properties based on asymptotic distributional bias (ADB), MSE (ADMSE) matrices, and under quadratic risks (ADQR). |
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