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,

Consider the mean square error criterion for generalized ridge regression. Show that the mean square error is minimized by choosing $k_{j}=\sigma^{2} / \alpha_{j}^{2}, j=1$, $2, \ldots, p$.

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