A fast algorithm for optimizing ridge parameters in a generalized ridge regression by minimizing a model selection criterion

DOI10.1016/j.jspi.2019.04.010zbMath1421.62093MaRDI QIDQ2317348

Mineaki Ohishi, Hirokazu Yanagihara, Yasunori Fujikoshi

Publication date: 9 August 2019

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2019.04.010

zbMATH Keywords

linear regression model; ridge parameter; model selection criterion; generalized ridge regression; optimization of ridge parameters

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

62F10: Point estimation

Related Items

Coordinate optimization for generalized fused Lasso, Equivalence between adaptive Lasso and generalized ridge estimators in linear regression with orthogonal explanatory variables after optimizing regularization parameters, Ridge parameters optimization based on minimizing model selection criterion in multivariate generalized ridge regression

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