EXACT MOMENTS OF FEASIBLE GENERALIZED RIDGE REGRESSION ESTIMATOR AND NUMERICAL EVALUATIONS

抄録

In this paper, we explain the exact moments of a feasible generalized ridge regression (FGRR) estimator and its related mean squared error (MSE) criteria. We propose a new form of the cross moment of the FGRR estimators which is useful for several evaluations. Numerical evaluations of them are also given for some selected values of non-centrality parameters and degrees of freedom, and some MSE criteria between the ordinary least squares (OLS) estimator and the FGRR estimator are compared. Note that some results are more precise than previous work.