Some asymptotic properties of Ridge Regression in a system of seemingly unrelated regression equations

被引：5

作者：

Firinguetti, Luis ^{[1
]}

Rubio, Hernan ^{[2
]}

机构：

[1] Univ Bio Bio, Fac Ciencias, Dept Matemat, Concepcion, Chile

[2] Banco Cent Chile, Dept Cuentas Nacl, Santiago, Chile

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2008年 / 37卷 / 15期

关键词：

asymptotic properties; Ridge regression; seemingly unrelated regression equations;

D O I：

10.1080/03610920801931853

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A discussion is made of asymptotic properties of an Operational Ordinary Ridge Regression estimator and comparison is made with the Operational Generalized Least Squares estimator. Also, some simulation experiments are carried showing efficiency gains can be made through the use of de Ridge estimator.

引用

页码：2433 / 2446

页数：14

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