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On the mean square error associated with adaptive generalized ridge regression
Author(s) -
McLachlan G. J.
Publication year - 1980
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/bimj.4710220205
Subject(s) - mathematics , mean squared error , estimator , ridge , statistics , generalized least squares , least squares function approximation , basis (linear algebra) , regression , square (algebra) , geometry , geology , paleontology
Some numerical results are presented for generalized ridge regression where the additive constants are based on the data. The adaptive estimator so obtained is compared with the least‐squares estimator on the basis of mean square error (MSE). It is shown that the MSE of each component of the vector of ridge estimators may be as low as 47.1% of the variance of the corresponding component of the least squares vector or as high as 125.2%.