The distribution of the ratios of characteristic roots (condition numbers) and their applications in principal component or ridge regression

DOI10.1016/0024-3795(86)90156-4zbMATH Open0614.62061OpenAlexW2039491306MaRDI QIDQ1819862FDOQ1819862

Willem J. Conradie, C. G. Troskie

Publication date: 1986

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0024-3795(86)90156-4

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zbMATH Keywords

multivariate normal distributionridge regressionlinear regressioncondition numbersprincipal component regressionlatent rootslatent root regressionMulticollinearity

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Ridge Regression: Applications to Nonorthogonal Problems
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• Multivariate stable distributions
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• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• On the evaluation of some distributions that arise in simultaneous tests for the equality of the latent roots of the covariance matrix
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• An Asymptotic Expansion for the Distribution of the Latent Roots of the Estimated Covariance Matrix
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• Ridge regression iterative estimation of the biasing parameter
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• On the Non-Central Distributions of Two Test Criteria in Multivariate Analysis of Variance
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• A Tale of Two Regressions
• Simultaneous tests for equality of latent roots against certain alternatives. II
• Norms and inequalities for condition numbers. III
• A Comparison of Least Squares and Latent Root Regression Estimators
• Title not available (Why is that?)

Cited In (1)

• On the measures of multicollinearity in least squares regression

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