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Generalized penalized least squares and its statistical characteristics |
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| Authors: | Ding Shijun Ph. D Tao Benzao |
| Affiliation: | DING Shijun TAO Benzao |
| Abstract: | The solution properties of semiparametric model are analyzed, especially that penalized least squares for semiparametric model will be invalid when the matrix B~TPB is ill-posed or singular. According to the principle of ridge estimate for linear parametric model, generalized penalized least squares for semiparametric model are put forward, and some formulae and statistical properties of estimates are derived. Finally according to simulation examples some helpful conclusions are drawn. |
| Keywords: | semiparametric model penalized least squares generalized penalized least squares statistical property ill-posed matrix ridge estimate |
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