Good ridge estimators based on prior information

1 January 1976

journal article
research article
Published by Taylor & Francis in Communications in Statistics - Theory and Methods

Vol. 5 (11) , 1065-1075
https://doi.org/10.1080/03610927608827423

Abstract

Ridge regression is re-examined and ridge estimators based on prior information are introduced. A necessary and sufficient condition is given for such ridge estimators to yield estimators of every nonnull linear combination of the regression coefficients with smaller mean square error than that of the Gauss-Markov best linear unbiased estimator.

Keywords

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