Unbiased ridge estimation with prior information and ridge trace. (English) Zbl 0937.62616
Summary: A procedure is illustrated to incorporate prior information in the ridge regression model. Unbiased ridge estimators with prior information are defined and a robust estimate of the ridge parameter \(k\) is proposed.
MSC:
62J07 | Ridge regression; shrinkage estimators (Lasso) |
Keywords:
multicollinearity; prior information; ridge trace; mean square error; unbiased ridge estimationReferences:
[1] | DOI: 10.2307/2682801 · doi:10.2307/2682801 |
[2] | DOI: 10.1214/aoms/1177730148 · Zbl 0032.00103 · doi:10.1214/aoms/1177730148 |
[3] | DOI: 10.2307/2285814 · Zbl 0319.62018 · doi:10.2307/2285814 |
[4] | DOI: 10.2307/1267351 · Zbl 0202.17205 · doi:10.2307/1267351 |
[5] | DOI: 10.2307/1267352 · Zbl 0202.17206 · doi:10.2307/1267352 |
[6] | DOI: 10.1080/03610927508827232 · Zbl 0296.62062 · doi:10.1080/03610927508827232 |
[7] | Hoerl A.E., American Journal of Mathematical and Management Sciences 1 pp 5– (1981) |
[8] | DOI: 10.2307/1927962 · doi:10.2307/1927962 |
[9] | Lindley D.V., Journal of the Royal Statistical Society 24 pp 285– (1962) |
[10] | DOI: 10.1080/03610928708829583 · Zbl 0651.62068 · doi:10.1080/03610928708829583 |
[11] | DOI: 10.1080/03610927608827423 · Zbl 0342.62035 · doi:10.1080/03610927608827423 |
[12] | Zellner A., An Introduction to Bayesian Inference in Econometrics (1971) · Zbl 0246.62098 |
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.