The General Linear Test in the Ridge Regression

- Journal title : Communications for Statistical Applications and Methods
- Volume 21, Issue 4, 2014, pp.297-307
- Publisher : The Korean Statistical Society
- DOI : 10.5351/CSAM.2014.21.4.297

Title & Authors

The General Linear Test in the Ridge Regression

Bae, Whasoo; Kim, Minji; Kim, Choongrak;

Bae, Whasoo; Kim, Minji; Kim, Choongrak;

Abstract

We derive a test statistic for the general linear test in the ridge regression model. The exact distribution for the test statistic is too difficult to derive; therefore, we suggest an approximate reference distribution. We use numerical studies to verify that the suggested distribution for the test statistic is appropriate. A asymptotic result for the test statistic also is considered.

Keywords

Linear test;reference distribution;shrinkage parameter;test statistic;

Language

English

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