Abstract
In this paper, we examine the risk performance of the generalized ridge regression (GRR) and feasible GRR estimators when the LINEX loss function is used. A sufficient condition for the GRR estimator to dominate the OLS estimator is shown, and the risk functions of the feasible GRR estimator and the OLS estimator are numerically compared.
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The author is grateful to David Giles and Judith Giles for very useful discussions, and hospitality when he visited University of Canterbury. He is also grateful to an anonymous referee for very helpful comments and suggestions.
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Ohtani, K. Generalized ridge regression estimators under the LINEX loss function. Stat Papers 36, 99–110 (1995). https://doi.org/10.1007/BF02926024
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DOI: https://doi.org/10.1007/BF02926024