A new class of generalized Bayes minimax ridge regression estimators
نویسندگان
چکیده
منابع مشابه
A new class of generalized Bayes minimax ridge regression estimators
Let y = Aβ + ε, where y is an N × 1 vector of observations, β is a p× 1 vector of unknown regression coefficients, A is an N × p design matrix and ε is a spherically symmetric error term with unknown scale parameter σ. We consider estimation of β under general quadratic loss functions, and, in particular, extend the work of Strawderman [J. Amer. Statist. Assoc. 73 (1978) 623–627] and Casella [A...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2005
ISSN: 0090-5364
DOI: 10.1214/009053605000000327