The Lawless-Wang’s Operational Ridge Regression Estimator Under the LINEX Loss Function

Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 206 Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 208 References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211

ABSTRACT

In this paper, using the asymmetric LINEX loss function we derive the risk function of the operational ridge regression estimator (RRE) for individual regression coefficients. We also examine the risk performance of this estimator when the LINEX loss function is used.