Predictive efficiency of ridge regression estimator

Authors

  • Manoj Tiwari Panjab University, Department of Statistics, Chandigarh, India
  • Amit Sharma University of Jammu, Department of Statistics, Jammu, India

DOI:

https://doi.org/10.2298/YJOR170114014T

Keywords:

linear regression model, ridge regression estimator, least squares predictor, rdge regression predictor, prediction within and outside sample, prior non-sample information

Abstract

In this article we have considered the problem of prediction within and outside the sample for actual and average values of the study variables in case of ordinary least squares and ridge regression estimators. Finally, the performance properties of the estimators are analyzed.

References

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Hoerl, A.E., and Kennard, R.W., "Ridge regression: biased estimation for non-orthogonal problems", Technometrics, 12 (1970b) 69-82.

Hoerl, A.E., Kennard, R.W., and Baldwin, K.F., "Ridge regression: some simulation", Communications in Statistics, 4 (1975) 105-123.

Rao, C.R., and Toutenburg, H., Linear Models: Least Squares and Alternatives, Springer, New York, 1995.

Theil, H., and Goldberger, A.S., "On pure and mixed estimation in econometrics", International Economic Review, 2 (1961) 65-78.

Trenkler, G., and Toutenburg, H., "Pre-test procedures and forecasting in the regression model under restrictions", Journal of Statistical Planning and Inference, 30 (1992) 245-256.

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Published

2017-05-01

Issue

Vol. 27 No. 2 (2017)

Section

Research Articles

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Copyright (c) 2017 YUJOR

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