Ridge regression versus ols by pitman's closeness under quadratic and fisher's loss |
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Authors: | Alessandro Bertuzzi Alberto Gandolfi |
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Institution: | Istituto di Analisi dei Sistemi ed Informatica del CNR , Viale Manzoni 30, Roma, 00185, Italy |
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Abstract: | The existence of values of the ridge parameter such that ridge regression is preferable to OLS by the Pitman nearness criterion under both the quadratic and the Fisher's loss is shown. Preference regions of the two estimators under the above loss functions are found. An upper bound for the value of the Pitman's measure of closeness, independent of a deterministic or stochastic choice of the ridge parameter, is given. |
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Keywords: | multiple regression ridge regression ordinary least squares Pitman's measure of closeness |
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