Mathematische Operationsforschung Statistik · 1975 · 55 citations · 6 references
Natural SciencesRisk ManagementOptimizationRisk AnalysisConvex AnalysisConvex OptimizationMaximum Likelihood EstimationOptimization TheoryRisk TheoryRobust OptimizationMinimax OptimizationMinimax RiskRegularized EstimationRidge AnalysisRidge RegressionRisk
Abstract For a linear model with restrictions of the normed linear parameter to a generalized ellipsoid it is proven, that the Kuks-Olman estimator is minimax linear with respect to the matrik risk. From this follow optimal ridge and shrunken estimators.
6
Ridge Regression: Biased Estimation for Nonorthogonal Problems
Arthur E. Hoerl, Robert W. Kennard · Technometrics · 1970 · 8.9K citations
On Biased Estimation in Linear Models
Lawrence S. Mayer, Thomas A. Willke · Technometrics · 1973 · 201 citations
Business, Data Science, Econometrics +11