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
收藏
页码：2433 / 2446
页数：14
相关论文
共 50 条
  • [41] Bayesian Geoadditive Seemingly Unrelated Regression
    Stefan Lang
    Samson B. Adebayo
    Ludwig Fahrmeir
    Winfried J. Steiner
    Computational Statistics, 2003, 18 : 263 - 292
  • [42] Seemingly unrelated penalized regression models
    Ghasemi, Adel
    Najarzadeh, Dariush
    Khazaei, Mojtaba
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2024,
  • [43] A NOTE ON SEEMINGLY UNRELATED REGRESSION EQUATIONS WITH RESIDUAL VECTORS AS EXPLANATORY VARIABLES
    OKSANEN, EH
    STATISTICS & PROBABILITY LETTERS, 1987, 6 (02) : 103 - 105
  • [44] The Generalized Shrunken Estimators in the Multivariate Seemingly Unrelated Regression System
    Wang Shiqing
    Li Yifang
    Ye Xiaofeng
    RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II, 2009, : 1096 - 1100
  • [45] Seemingly unrelated regressions with covariance matrix of cross-equation ridge regression residuals
    Zeebari, Zangin
    Kibria, B. M. Golam
    Shukur, Ghazi
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (20) : 5029 - 5053
  • [46] A nonparametric Bayesian seemingly unrelated regression model
    Jo, Seongil
    Seok, Inhae
    Choi, Taeryon
    KOREAN JOURNAL OF APPLIED STATISTICS, 2016, 29 (04) : 627 - 641
  • [47] Bayes and empirical Bayes iteration estimators in two seemingly unrelated regression equations
    Lichun Wang
    Science in China Series A: Mathematics, 2005, 48 (9): : 1153 - 1168
  • [48] Robust Bayesian seemingly unrelated regression model
    Mbah, Chamberlain
    Peremans, Kris
    Van Aelst, Stefan
    Benoit, Dries F.
    COMPUTATIONAL STATISTICS, 2019, 34 (03) : 1135 - 1157
  • [49] Smooth coefficient estimation of a seemingly unrelated regression
    Henderson, Daniel J.
    Kumbhakar, Subal C.
    Li, Qi
    Parmeter, Christopher F.
    JOURNAL OF ECONOMETRICS, 2015, 189 (01) : 148 - 162
  • [50] A SEEMINGLY UNRELATED POISSON REGRESSION-MODEL
    KING, G
    SOCIOLOGICAL METHODS & RESEARCH, 1989, 17 (03) : 235 - 255
12345