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Biased estimation: Sample properties of generalized ridge-type estimators. (English) Zbl 0704.62051

We propose a generalized ridge-type estimator for the estimation of regression coefficients in the presence of multicollinearity in the design matrix. The first two exact moments and the expressions for the relative bias, relative mean square error and relative efficiency of the proposed estimator are derived.

MSC:

62J07 Ridge regression; shrinkage estimators (Lasso)
62H12 Estimation in multivariate analysis