TY - JOUR
T1 - On the mean squared error of the ridge estimator of the covariance and precision matrix
AU - van Wieringen, Wessel N.
PY - 2017/4/1
Y1 - 2017/4/1
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 - http://www.scopus.com/inward/record.url?scp=85007061031&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85007061031&partnerID=8YFLogxK
U2 - https://doi.org/10.1016/j.spl.2016.12.002
DO - https://doi.org/10.1016/j.spl.2016.12.002
M3 - Article
SN - 0167-7152
VL - 123
SP - 88
EP - 92
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
ER -