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Latest revision as of 19:10, 12 March 2024
Generalized Ridge Regression for Linear Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | g.ridge |
Generalized Ridge Regression for Linear Models |
Statements
Ridge regression due to Hoerl and Kennard (1970)<doi:10.1080/00401706.1970.10488634> and generalized ridge regression due to Yang and Emura (2017)<doi:10.1080/03610918.2016.1193195> with optimized tuning parameters. These ridge regression estimators (the HK estimator and the YE estimator) are computed by minimizing the cross-validated mean squared errors. Both the ridge and generalized ridge estimators are applicable for high-dimensional regressors (p>n), where p is the number of regressors, and n is the sample size.
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7 December 2023
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