Some properties of generalized ridge estimators |
| |
| Authors: | William J Hemmerle Michele Boulanger Carey |
| |
| Institution: | 1. University of Rhode , Island;2. Bell Laboratories |
| |
| Abstract: | Exact expressions, in the form of infinite series expansions, are given for the first and second moments of two well known generalized ridge estimators. These series expansions are then evaluated using recursive formulas and computations are verified using approximations. Results are presented for the relative mean square error and bias of these estimators as well as their relative efficiency with respect to least squares. |
| |
| Keywords: | generalized ridge regression properties of estimators efficiency of estimators |
|
