Consider the mean square error criterion for generalized ridge regression. Show that the mean square error is
Question:
Consider the mean square error criterion for generalized ridge regression. Show that the mean square error is minimized by choosing \(k_{j}=\sigma^{2} / \alpha_{j}^{2}, j=1\), \(2, \ldots, p\).
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Introduction To Linear Regression Analysis
ISBN: 9781119578727
6th Edition
Authors: Douglas C. Montgomery, Elizabeth A. Peck, G. Geoffrey Vining
Question Posted: