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Ridge Estimator Revisited
Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica, Tome 51 (2012) no. 2, pp. 73-86

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Bad conditioned matrix of normal equations in connection with small values of model parameters is a source of problems in parameter estimation. One solution gives the ridge estimator. Some modification of it is the aim of the paper. The behaviour of it in models with constraints is investigated as well.
Bad conditioned matrix of normal equations in connection with small values of model parameters is a source of problems in parameter estimation. One solution gives the ridge estimator. Some modification of it is the aim of the paper. The behaviour of it in models with constraints is investigated as well.
Classification : 62J05, 62J07
Keywords: linear model; ridge estimator; constraints 
Kubáček, Lubomír. Ridge Estimator Revisited. Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica, Tome 51 (2012) no. 2, pp. 73-86. http://geodesic.mathdoc.fr/item/AUPO_2012_51_2_a6/
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