On multivariate ridge regression

DOI10.1093/BIOMET/74.3.563MaRDI QIDQ3806610zbMATH OpenOpenAlexFDO

Authors Yoel Haitovsky

Publication date 1987

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://ageconsearch.umn.edu/record/293092/files/amsterdam061.pdf

zbMATH Keywords

Bayesian estimatesconjugate priorsEM algorithmexchangeabilityidentifiabilityLindley-Smith model estimatelinear hierarchical modelmaximum likelihood estimatemean of multivariate normal distributionmultivariate linear regression modelmultivariate ridge estimatorStein estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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(20)

• Regularized linear and kernel redundancy analysis
• On multivariate linear regression shrinkage and reduced-rank procedures
• On multivariate regression estimation
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• Selection of model selection criteria for multivariate ridge regression
• Modified Ridge Parameters for Seemingly Unrelated Regression Model
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• Asymptotic Aspects of Ordinary Ridge Regression
• Multicolinearity and ridge regression: results on type I errors, power and heteroscedasticity
• Developing Ridge Parameters for SUR Model
• On The Least Absolute Deviations Method for Ridge Estimation of Sure Models
• Applications of resampling methods in multivariate Liu estimator
• Multivariate regression with measurement error: bias analysis and estimation
• The safety belt estimator under multivariate linear models with inequality constraints
• Adaptive feature-weighted variable selection for Fréchet regression
• Enhanced ridge regressions

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