DENSITY FUNCTION AND RELATIVE EFFICIENCY OF THE MODIFIED GENERALIZED RIDGE REGRESSION ESTIMATORS

抄録

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.