DISTRIBUTION AND DENSITY-FUNCTIONS OF THE FEASIBLE GENERALIZED RIDGE-REGRESSION ESTIMATOR

被引：8

作者：

OHTANI, K ^{[1
]}

机构：

[1] KOBE UNIV,FAC ECON,NADA KU,KOBE 657,JAPAN

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1993年 / 22卷 / 10期

关键词：

DENSITY FUNCTION; DISTRIBUTION FUNCTION; GENERALIZED RIDGE REGRESSION;

D O I：

10.1080/03610929308831182

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we derive the distribution and density functions of the feasible generalized ridge regression (GRR) estimator. It is shown that when the absolute value of a regression coefficient is close to zero, the distribution of the feasible GRR estimator is bimodal and has thinner tails than that of the OLS estimator.

引用

页码：2733 / 2746

页数：14

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