JOURNAL OF THE JAPAN STATISTICAL SOCIETY
Online ISSN : 1348-6365
Print ISSN : 1882-2754
ISSN-L : 1348-6365
DENSITY FUNCTION AND RELATIVE EFFICIENCY OF THE MODIFIED GENERALIZED RIDGE REGRESSION ESTIMATORS
Takakatsu Inoue
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1999 Volume 29 Issue 1 Pages 39-54

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Abstract
In a multiple linear regression model, the paper derives the exact distribution and density function of the modified generalized ridge(M-GR)regression estimators which includes the generalized ridge(GR)estimator. Based on the density function derived, the performance of the relative efficiency of the M-GR estimators to the ordinary least squares(OLS)estimator is also evaluated by numerical analysis.
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© Japan Statistical Society
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