Bounds on the biasing parameter in ridge regression |
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| Authors: | Krishna Kadiyala |
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| Affiliation: | Department of Economics , Algoma University College , Sault Ste. Marie, Ontario |
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| Abstract: | One of the problems with the ridge estimator is the appropriate value for the unknown biasing parameter k. In theory k can take a range of values, though some values are preferable to others. In this note we consider the optimum value for k and give bounds on the expected value of k. |
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| Keywords: | ordinary ridge estimator hypergeometric function asymptotic expansion |
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