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

DOI10.1016/0024-3795(86)90156-4zbMath0614.62061OpenAlexW2039491306MaRDI QIDQ1819862

W. 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

zbMATH Keywords

ridge regressionlinear regressioncondition numbersmultivariate normal distributionlatent rootsprincipal component regressionlatent 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

• On the evaluation of some distributions that arise in simultaneous tests for the equality of the latent roots of the covariance matrix
• Simultaneous tests for equality of latent roots against certain alternatives. II
• Norms and inequalities for condition numbers. III
• On the distributions of the ratios of the extreme roots to the trace of the Wishart matrix
• Multivariate stable distributions
• Selection of Variables in Multiple Regression: Part II. Chosen Procedures, Computations and Examples
• A Tale of Two Regressions
• Latent Root Regression Analysis
• A Comparison of Least Squares and Latent Root Regression Estimators
• Ridge regression iterative estimation of the biasing parameter
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• The Distribution of Hotelling's Generalised $T_0^2$
• On the Non-Central Distributions of Two Test Criteria in Multivariate Analysis of Variance
• Distribution of the Largest Latent Root and the Smallest Latent Root of the Generalized $B$ Statistic and $F$ Statistic in Multivariate Analysis
• Ridge Regression: Applications to Nonorthogonal Problems
• The Distribution of the Latent Roots of the Covariance Matrix
• Generalized Inverses, Ridge Regression, Biased Linear Estimation, and Nonlinear Estimation
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• Some Non-Central Distribution Problems in Multivariate Analysis
• On the Sampling Theory of Roots of Determinantal Equations
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