On small sample properties of the almost unbiased generalized ridge estimator

The purpose of this paper is to examine small sample properties of the operational almost unbiased generalized ridge estimator (E) . The exact first two moments of theAUGRE are derived. It is shown that although the reduction of the bias of the AUGRE is substantial, the AUGRE is rather inefficient than the generalized ridge estimator without the bias correction in a wide range of a noncen-trality parameter in terms of the mean square error.