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:
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