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A Method to Determine Interval Estimation of Optimal Ridge Parameter

Jie Yao


In this paper, a sequence of intervals [K_L(n);K_U(n)] is given. Its lengths are monotone decreasing and optimal ridge parameter k0 belongs to every interval. If we use the endpoint of [K_L(n); K_U(n)] as ridge parameters, the mean square errors of the corresponding ridge estimation are monotone decreasing. If we use the K_L(n) as ridge parameter, the ridge estimation is better than Hoerl and Kennard’s.


linear model, ridge estimation, Interval estimation, Least square estimation, mean square error.

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