Consider the model in equation 13.22 given by [These are called the generalized ridge regression estimators. When k 1 = k 2 , they are called the ridge regression estimators. Hoerl, Kennard, and...

[These are called the generalized ridge regression estimators. When k₁
= k₂, they are called the ridge regression estimators. Hoerl, Kennard, and Baldwin (1975) suggest the use of

Where

₁
and

₂
are the ordinary least squares estimators of γ₁
and γ₂, and s₂
is the residual mean square error from the least squares regression.]