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http://dx.doi.org/10.5351/CSAM.2014.21.4.297

The General Linear Test in the Ridge Regression  

Bae, Whasoo (Department of Data Science/Institute of Statistical Information, Inje University)
Kim, Minji (Department of Statistics, Pusan National University)
Kim, Choongrak (Department of Statistics, Pusan National University)
Publication Information
Communications for Statistical Applications and Methods / v.21, no.4, 2014 , pp. 297-307 More about this Journal
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;
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