Abstract
In this paper we compare the mean square error matrices of the ordinary least squares estimator, the restricted least squares estimator and a generalisation of the ordinary ridge estimator. We establish necessary and sufficient conditions for the mean square error matrix of the ordinary least squares estimator to exceed that of the ridge estimator by a positive semidefinite matrix and necessary and sufficient conditions for the mean square error matrix of the ridge estimator to exceed that of the restricted least squares estimator by a positive semi-definite matrix.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
