Equality between two general ridge estimators and equivalence of their residual sums of squares
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866916647487406080 |
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| author | Mukasa, Hirai Tsukuda, Koji |
| author_facet | Mukasa, Hirai Tsukuda, Koji |
| contents | General ridge estimators are typical linear estimators in a general linear model. The class of them includes some shrinkage estimators in addition to classical linear unbiased estimators such as the ordinary least squares estimator and the weighted least squares estimator. We derive necessary and sufficient conditions under which two general ridge estimators coincide. In particular, two noteworthy conditions are added to those from previous studies. The first condition is given as a seemingly column space relationship to the covariance matrix of the error term, and the second one is based on the biases of general ridge estimators. Another problem studied in this paper is to derive an equivalence condition such that equality between two residual sums of squares holds when general ridge estimators are considered. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_20023 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Equality between two general ridge estimators and equivalence of their residual sums of squares Mukasa, Hirai Tsukuda, Koji Statistics Theory 62J05, 62F10, 62J07 General ridge estimators are typical linear estimators in a general linear model. The class of them includes some shrinkage estimators in addition to classical linear unbiased estimators such as the ordinary least squares estimator and the weighted least squares estimator. We derive necessary and sufficient conditions under which two general ridge estimators coincide. In particular, two noteworthy conditions are added to those from previous studies. The first condition is given as a seemingly column space relationship to the covariance matrix of the error term, and the second one is based on the biases of general ridge estimators. Another problem studied in this paper is to derive an equivalence condition such that equality between two residual sums of squares holds when general ridge estimators are considered. |
| title | Equality between two general ridge estimators and equivalence of their residual sums of squares |
| topic | Statistics Theory 62J05, 62F10, 62J07 |
| url | https://arxiv.org/abs/2405.20023 |