The General Linear Test in the Ridge Regression Bae, Whasoo; Kim, Minji; Kim, Choongrak;
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.
Linear test;reference distribution;shrinkage parameter;test statistic;
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