RELATIVE EFFICIENCY OF THE EXPANDED DOUBLE F-CLASS GENERALIZED RIDGE ESTIMATORS

RELATIVE EFFICIENCY OF THE EXPANDED DOUBLE F-CLASS GENERALIZED RIDGE ESTIMATORS

The double f-class generalized ridge regression estimator is known to be a modified estimator of the generalized ridge regression estimator. In this paper, the exact distribution and density functions of the 'expanded'double f-class generalized ridge estimator are derived. Based on the den...

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Veröffentlicht in:JOURNAL OF THE JAPAN STATISTICAL SOCIETY 2000, Vol.30(1), pp.89-104
1. Verfasser: Inoue, Takakatsu
Format: Artikel
Sprache:eng
Schlagworte:
density function
prior distribution
relative efficiency
ridge regression
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Zusammenfassung:The double f-class generalized ridge regression estimator is known to be a modified estimator of the generalized ridge regression estimator. In this paper, the exact distribution and density functions of the 'expanded'double f-class generalized ridge estimator are derived. Based on the density function derived, the performance of the relative efficiency of the expanded estimator to the ordinary least squared estimator is also evaluated by numerical analysis for two prior distributions
ISSN:1882-2754
1348-6365
DOI:10.14490/jjss1995.30.89