The superiority of Bayes linear unbiased minimum variance estimator with respect to ridge estimator. (Chinese. English summary) Zbl 1299.62061
Summary: The superiority of Bayes linear unbiased minimum variance (BLUMV) estimator with respect to ridge estimator of unknown parameter is studied in terms of the mean square error matrix criterion. Under balanced loss risk function criterion. The superiority of BLUMV estimator over ridge estimator of unknown parameter is investigated, and BLUMV estimator and least square estimator can converge to the same one under a certain condition.
MSC:
| 62J07 | Ridge regression; shrinkage estimators (Lasso) |
| 62F15 | Bayesian inference |
| 62F10 | Point estimation |
