SHRINKAGE ESTIMATION FOR NEARLY SINGULAR DESIGNS
研究了当设计矩阵近乎奇异时，岭回归和Lasso等收缩估计量的渐近性质，对处理高共线性问题的研究者有参考价值。
Shrinkage estimation procedures such as ridge regression and the lasso have been proposed for stabilizing estimation in linear models when high collinearity exists in the design. In this paper, we consider asymptotic properties of shrinkage estimators in the case of “nearly singular” designs.I thank Hannes Leeb and Benedikt Pötscher and also the referees for their valuable comments. This research was supported by a grant from the Natural Sciences and Engineering Research Council of Canada.