Algorithm AS 223: Optimum Ridge Parameter Selection

DOI10.2307/2347851MaRDI QIDQ4720594zbMATH OpenOpenAlexFDO

Authors Tze-San Lee

Publication date 1987

Published in Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2347851

zbMATH Keywords

Algorithm AS 223ISO FortranNewton-Raphson methodoptimum ridge parameter selectionridge regression

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cited in

(6)

• Stability of the inverse correlation matrix. Partial ridge regression
• Simultaneous dimension reduction and variable selection in modeling high dimensional data
• Model averaging estimator in ridge regression and its large sample properties
• AS 223
• Distributed Mallows model averaging for ridge regressions
• Probabilistic-statistical programs from ``Applied Statistics

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