Condition Numbers and Minimax Ridge Regression Estimators

DOI10.2307/2288496MaRDI QIDQ3694648zbMATH OpenOpenAlexFDO

Authors George Casella

Publication date 1985

Full work available at URL https://doi.org/10.2307/2288496

zbMATH Keywords

matrix conditioningmean squared errorminimax ridge regression estimatornumerical stability

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Ridge regression; shrinkage estimators (Lasso) (62J07) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(17)

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• A class of minimax ridge rules
• Robust estimation of common regression coefficients under spherical symmetry
• Improved minimax estimation of a multivariate normal mean under heteroscedasticity
• A new class of generalized Bayes minimax ridge regression estimators
• Anomalies in the Foundations of Ridge Regression
• Shrinkage and modification techniques in estimation of variance and the related problems: A review
• LowCon: A Design-based Subsampling Approach in a Misspecified Linear Model
• Bayes minimax ridge regression estimators
• The coefficient of determination in the ridge regression
• Choice of the ridge factor from the correlation matrix determinant
• More on Liu-Type Estimator in Linear Regression
• Fully Bayes factors with a generalized g-prior
• On some stable linear functional regression estimators based on random projections
• Transformation of variables and the condition number in ridge estimation
• Orthogonal systems based schemes for the stable inversion of Abel's integral operator
• Enhanced ridge regressions

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