An even faster algorithm for ridge regression of reduced rank data

DOI10.1016/J.CSDA.2004.09.007MaRDI QIDQ959191zbMATH OpenOpenAlexFDO

Authors Turlach, Berwin A.

Publication date 11 December 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2004.09.007

zbMATH Keywords

matrix factorizationridge regressioncross validationbidiagonal factorization

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Numerical solutions to overdetermined systems, pseudoinverses (65F20)

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Cites work

• scientific article; zbMATH DE number 1226426 (Why is no real title available?)
• scientific article; zbMATH DE number 852536 (Why is no real title available?)
• scientific article; zbMATH DE number 883145 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A faster algorithm for ridge regression of reduced rank data
• A note on the computation of the generalized cross-validation function for ill-conditioned least squares problems
• Algorithms for the regularization of ill-conditioned least squares problems
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

Cited in

(8)

• Fast model-fitting of Bayesian variable selection regression using the iterative complex factorization algorithm
• A faster algorithm for ridge regression of reduced rank data
• Editorial: Statistical learning methods including dimensionality reduction
• Data-driven ridge regression for Aalen's additive risk model
• Reduced rank kernel ridge regression
• An exact approach to ridge regression for big data
• Fast Cross-validation for Multi-penalty High-dimensional Ridge Regression
• A fast regression via SVD and marginalization

Describes a project that uses

Uses Software

• R

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