一类自适应岭估计的小样本性质
FINITE-SAMPLE PROPERTIES OF AN ADATIVE RIDFE ESTIMATOR
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摘要: 本文利用比较简洁的方法研究了线性模型中关于回归系数的一类自适应岭估计的精确偏差和均方误差,并通过对均方误差的分析得到了该估计类一致优于最小二乘估计的充分条件。Abstract: By using a directed method, we obtained the exact biase and mean squared error of an adaptive ridge estimator in linear regreseional model, and got the sufficient condition under which the ridge estimator is uniformly better than the least squared estimator in rense of MSE.
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