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On necessary and sufficient condition for superiority of ridge estimator over least squares estimator

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The necessary and sufficient condition is obtained such that ridge estimator is better than the least squares estimator relative to the matrix mean square error.

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References

  1. Farebrother, R. W. (1976), “Further Results on the Mean Square Error of Ridge Regression”, J. R. Statist. Soc. B, 38, 248–250.

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  2. Hoerl, A.E. and R.W. Kennard (1970), “Ridge Regression: Biased Estimation of Non-orthogonal Problems”, Technometrics 12, 55–67.

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  3. Vinod, H.D. and A. Ullah (1981), “Recent Advances in Regression Methods”, New York and Basel: Marcel Dekker.

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Authors and Affiliations

  1. Math. Department, Acadia University, BOP 1X0, Wolfville, Nova Scotia, Canada

    J. S. Chawla

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  1. J. S. Chawla
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Chawla, J.S. On necessary and sufficient condition for superiority of ridge estimator over least squares estimator. Statistical Papers 29, 227–230 (1988). https://doi.org/10.1007/BF02924527

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  • DOI: https://doi.org/10.1007/BF02924527

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