Mean squared error comparisons of the modified ridge regression estimator and the restricted ridge regression estimator

Kaciranlar S., Sakallioglu S., Akdeniz F.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, cilt.27, sa.1, ss.131-138, 1998 (SCI-Expanded) identifier identifier

Özet

Swindel (1976) introduced a modified ridge regression estimator based on prior information. Sarkar (1992) suggested a new estimator by combining in a particular way the two approaches followed in obtaining the restricted least squares and ordinary ridge regression estimators.

Swindel (1976) introduced a modified ridge regression estimator based on prior information. Sarkar (1992) suggested a new estimator by combining in a particular way the two approaches followed in obtaining the restricted least squares and ordinary ridge regression estimators. 

In this paper we compare the mean square error matrices of the modified ridge regression estimator based on prior information and the restricted ridge regression estimator introduced by Sarkar (1992). We stated a sufficient condition for the mean square error matrix of the modified ridge regression estimator to exceed the mean square error matrix of the restricted ridge regression estimator.