Adaptive multivariate ridge regression

DOI10.1214/AOS/1176344891MaRDI QIDQ1135595zbMATH OpenOpenAlexFDO

Authors James V. Zidek, P. J. Brown

Publication date 1980

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176344891

zbMATH Keywords

adaptive multivariate ridge regressionEfron-Morris multivariate version of James-Stein estimatorempirical Bayes proceduresHoerl-Kennard ridge regression rule

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Analysis of variance and covariance (ANOVA) (62J10)

Cited in

(20)

• Capturing between-tasks covariance and similarities using multivariate linear mixed models
• On multivariate linear regression shrinkage and reduced-rank procedures
• PLS for Big Data: a unified parallel algorithm for regularised group PLS
• A nonparametric empirical Bayes approach to large-scale multivariate regression
• Generalized co-sparse factor regression
• Input selection and shrinkage in multiresponse linear regression
• Multivariate regression analysis and canonical variates
• Applications of resampling methods in multivariate Liu estimator
• Minimax multivariate empirical Bayes estimators under multicollinearity
• Generalized multivariate ridge regression estimate and criteria Q(c) for choosing matrix K^*
• GENERALIZED RIDGE ESTIMATE OF PARAMETERS IN VARIANCE COMPONENT MODEL
• Selection of model selection criteria for multivariate ridge regression
• On The Least Absolute Deviations Method for Ridge Estimation of Sure Models
• Minimax hierarchical empirical Bayes estimation in multivariate regression
• Bayes Model Averaging with Selection of Regressors
• Bayesian sparse partial least squares
• Asymptotic Aspects of Ordinary Ridge Regression
• A real-time solution for an inverse Cauchy problem in cardiology
• Modified Ridge Parameters for Seemingly Unrelated Regression Model
• A Bayesian non-parametric estimate for multivariate regression

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