线性模型中岭估计的相合性

CONSISTENCY OF RIDGE ESTIMATES IN LINEAR MODELS

研究岭估计的相合性,证明岭估计和最小二乘估计的相合性具有等价性,基于这两种估计的误差方差估计的相合性也具有等价性。并证明岭估计相合性的收敛速度不低于最小二乘估计相合性的收敛速度。

In this paper,we study the consistency of ridge estimates in linear regression models is studied. It is proved that the consistency of ridge estimates is equivalent to that of least squares estimates,the consistency of their error variance estimates is also equivalent,and the convergence rate of ridge estimates is not lower than that of least squares estimtes.