A Method to Determine Interval Estimation of Optimal Ridge Parameter

摘要

In this paper, a sequence of intervals [K_L(n), K_U(n)] is given. Its lengths are monotone decreasing and optimal ridge parameter k_0 belongs to every interval. If we use the endpoint of [K_L(n), K_U(n)] as ridge parameters, the mean square errors of the corresponding ridge estimation are monotone decreasing. If we use the K_L (n) as ridge parameter, the ridge estimation is better than Hoerl and Kennard's.