2012年
MSE Performance of a Heterogeneous Pre-Test Ridge Regression Estimator
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
- ,
- 巻
- 41
- 号
- 9
- 開始ページ
- 1692
- 終了ページ
- 1700
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1080/03610926.2010.549990
- 出版者・発行元
- TAYLOR & FRANCIS INC
In this article, we consider a linear regression model and propose a heterogeneous pre-test ridge regression (HPRR) estimator which consists of the inequality constrained ridge regression (ICRR) estimator proposed by Ohtani (2008) and the ordinary least squares (OLS) estimator. We derive the exact formula for the mean squared error (MSE) of the HPRR estimator. Our numerical results show that the MSE performance of the estimator can be well controlled by introducing the pre-test.
- リンク情報
- ID情報
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- DOI : 10.1080/03610926.2010.549990
- ISSN : 0361-0926
- eISSN : 1532-415X
- Web of Science ID : WOS:000304526400014