Shrinkage estimation for nearly singular designs

被引：10

作者：

Knight, Keith ^{[1
]}

机构：

[1] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada

来源：

ECONOMETRIC THEORY | 2008年 / 24卷 / 02期

关键词：

D O I：

10.1017/S0266466608080146

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Shrinkage estimation procedures such as ridge regression and the lasso have been proposed for stabilizing estimation in linear models when high collinearity exists in the design. In this paper, we consider asymptotic properties of shrinkage estimators in the case of "nearly singular" designs.

引用

页码：323 / 337

页数：15

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