Abstract
In this paper an alternative to the Ordinary Ridge Estimator ( ORE) introduced by Hoerl and Kennard (1970) is proposed. This estimator is called a ‘Conservative’ Ridge Estimator ( CRE), because it puts a heavier weight on the unbiasedness and a smaller weight on the statistical stability of the ‘unstable’ estimation components than the ORE does. Nevertheless, the CRE often performs better in terms of the Mean Square Error of estimation.
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