Template-Type: ReDIF-Paper 1.0
Author-Name: de Boer, P.M.C.
Author-Name-Last: de Boer
Author-Name-First: Paul
Author-Name: Hafner, C.M.
Author-Name-Last: Hafner
Author-Name-First: Christian
Author-Person: pha77
Title: Ridge regression revisited
Abstract: We argue in this paper that general ridge (GR) regression implies no major complication compared with simple ridge regression. We introduce a generalization of an explicit GR estimator derived by Hemmerle and by Teekens and de Boer and show that this estimator, which is more conservative, performs better than the Hoerl and Kennard estimator in terms of a weighted quadratic loss criterion.
Creation-Date: 2005-08-31
File-URL: https://repub.eur.nl/pub/6919/ei200529.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2005-29
Keywords: MSE performance, general ridge estimator
Handle: RePEc:ems:eureir:6919