Question: Take the linear regression model with E[Y j X ] X . Define the ridge regression estimator b X 0X I k

Take the linear regression model with E[Y j X ] Æ X ¯. Define the ridge regression estimator b¯ Æ

¡

X 0X ÅI k¸

¢¡1 X 0Y where ¸ È 0 is a fixed constant. Find E

£ b¯ j X

¤

. Is b¯ biased for ¯?

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