Abstract
We carry out the idea of inequality constrained least squares (ICLS) estimation of Liew (1976) to the inequality constrained ridge regression (ICRR) estimation. We propose ICRR estimator by reducing the primal–dual relation to the fundamental problem of Dantzig–Cottle (1967,1974) with Lemke (1962) algorithm. Furthermore, we conduct a Monte Carlo experiment.
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