Ridge estimator revisited. (English) Zbl 1306.62163

Summary: 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.


62J07 Ridge regression; shrinkage estimators (Lasso)
62J05 Linear regression; mixed models
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