A note on the moments of stochastic shrinkage parameters in ridge regression |
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| Authors: | Luis Firinguetti Hernán Rubio |
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| Institution: | 1. Departamento de Matemática y C. C , Universidad de Santiago , Santiago, Chile , Casilla307 -Correo 2;2. Departamento de Cuentas Nacionales , Santiago, Chile , Banco Central de Chile |
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| Abstract: | The purpose of this note is to gain insight on the performance of two well known operational Ridge Regression estimators by deriving the moments of their stochastic shrinkage parameters. We also show that, under certain conditions, one of them has bounded moments. |
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| Keywords: | biased estimation collinearity exact finite sample moments ridge regression shrinkage parameters |
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