On the mean squared error of the ridge estimator of the covariance and precision matrix

Wessel N. van Wieringen

doi:10.1016/j.spl.2016.12.002

On the mean squared error of the ridge estimator of the covariance and precision matrix

Wessel N. van Wieringen^*

^*Corresponding author for this work

Research output: Contribution to Journal › Article › Academic › peer-review

142 Downloads (Pure)

Abstract

For a suitably chosen ridge penalty parameter, the ridge regression estimator uniformly dominates the maximum likelihood regression estimator in terms of the mean squared error. Analogous results for the ridge maximum likelihood estimators of covariance and precision matrix are presented.

Original language	English
Pages (from-to)	88-92
Number of pages	5
Journal	Statistics and Probability Letters
Volume	123
Early online date	10 Dec 2016
DOIs	https://doi.org/10.1016/j.spl.2016.12.002
Publication status	Published - Apr 2017

Keywords

Inverse covariance matrix
Multivariate normal
ℓ-penalization

Access to Document

10.1016/j.spl.2016.12.002

On the mean squared error of the ridge estimator of the covariance and precision matrixFinal published version, 428 KBLicence: Article 25fa Dutch Copyright Act

Persistent URL (handle)

Persistent link

Cite this

@article{2cc3332cca4b4b9885051ae0f40e08cc,

title = "On the mean squared error of the ridge estimator of the covariance and precision matrix",

abstract = "For a suitably chosen ridge penalty parameter, the ridge regression estimator uniformly dominates the maximum likelihood regression estimator in terms of the mean squared error. Analogous results for the ridge maximum likelihood estimators of covariance and precision matrix are presented.",

keywords = "Inverse covariance matrix, Multivariate normal, ℓ-penalization",

author = "\{van Wieringen\}, \{Wessel N.\}",

year = "2017",

month = apr,

doi = "10.1016/j.spl.2016.12.002",

language = "English",

volume = "123",

pages = "88--92",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - On the mean squared error of the ridge estimator of the covariance and precision matrix

AU - van Wieringen, Wessel N.

PY - 2017/4

Y1 - 2017/4

N2 - For a suitably chosen ridge penalty parameter, the ridge regression estimator uniformly dominates the maximum likelihood regression estimator in terms of the mean squared error. Analogous results for the ridge maximum likelihood estimators of covariance and precision matrix are presented.

AB - For a suitably chosen ridge penalty parameter, the ridge regression estimator uniformly dominates the maximum likelihood regression estimator in terms of the mean squared error. Analogous results for the ridge maximum likelihood estimators of covariance and precision matrix are presented.

KW - Inverse covariance matrix

KW - Multivariate normal

KW - ℓ-penalization

UR - https://www.scopus.com/pages/publications/85007061031

UR - https://www.scopus.com/pages/publications/85007061031#tab=citedBy

U2 - 10.1016/j.spl.2016.12.002

DO - 10.1016/j.spl.2016.12.002

M3 - Article

AN - SCOPUS:85007061031

SN - 0167-7152

VL - 123

SP - 88

EP - 92

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

On the mean squared error of the ridge estimator of the covariance and precision matrix

Abstract

Keywords

Access to Document

Persistent URL (handle)

Other files and links

Fingerprint

Cite this