Stability of the inverse correlation matrix. Partial ridge regression

DOI10.1016/S0378-3758(98)00195-5MaRDI QIDQ1298948zbMATH OpenFDO

Authors Thierry Foucart

Publication date 10 September 2000

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0378-3758(98)00195-5

zbMATH Keywords

collinearityinverse correlation matrixridge regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• A procedure for determination of a good ridge parameter in linear regression
• Algorithm AS 223: Optimum Ridge Parameter Selection
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• scientific article; zbMATH DE number 3781344 (Why is no real title available?)
• scientific article; zbMATH DE number 469394 (Why is no real title available?)
• scientific article; zbMATH DE number 494530 (Why is no real title available?)
• Latent Root Regression Analysis
• Multiple Linear Regression on Canonical Correlation Variables
• Ridge Regression: Applications to Nonorthogonal Problems
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Selecting the optimum k in ridge regression
• Stabilité de la matrice inverse d'une matrice symétrique définie positive
• The Cholesky Factorization of the Inverse Correlation or Covariance Matrix in Multiple Regression
• The Collinearity Problem in Linear Regression. The Partial Least Squares (PLS) Approach to Generalized Inverses

Cited in

(6)

• Insight into the inverse and the determinant of correlation coefficient matrix
• scientific article; zbMATH DE number 3965223 (Why is no real title available?)
• The Early Use of Matrix Diagonal Increments in Statistical Problems
• Stabilité de la matrice inverse d'une matrice symétrique définie positive
• THE DISTRIBUTION OF STOCHASTIC SHRINKAGE PARAMETERS IN RIDGE REGRESSION
• Principal components regression based on kernel smoothing for semiparametric models with multicollinearity

Describes a project that uses

Uses Software

• AS 223

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