Generalizations of Mean Square Error Applied to Ridge Regression
- 1 September 1974
- journal article
- research article
- Published by Oxford University Press (OUP) in Journal of the Royal Statistical Society Series B: Statistical Methodology
- Vol. 36 (1) , 103-106
- https://doi.org/10.1111/j.2517-6161.1974.tb00990.x
Abstract
Hoerl and Kennard (1970) have proposed a method of estimation for multiple regression problems which involves adding small positive quantities to the diagonal of XT X. They use a type of mean square error to justify the procedure. This paper considers some generalizations of mean square error and provides a stronger defence of the method.This publication has 5 references indexed in Scilit:
- Discussion on the Paper by Professor Lindley and Dr SmithJournal of the Royal Statistical Society Series B: Statistical Methodology, 1972
- An application of the Rao-Blackwell theorem in preliminary test estimatorsJournal of Multivariate Analysis, 1972
- Ridge Regression: Biased Estimation for Nonorthogonal ProblemsTechnometrics, 1970
- Optimal Experimental DesignsThe Annals of Mathematical Statistics, 1966
- The Logic of Least SquaresJournal of the Royal Statistical Society Series B: Statistical Methodology, 1963