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

DOI10.1016/0024-3795(86)90156-4MaRDI QIDQ1819862zbMATH OpenOpenAlexFDO

Authors C. G. Troskie, Willem J. Conradie

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

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)

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• Ridge regression iterative estimation of the biasing parameter
• Selection of Variables in Multiple Regression: Part II. Chosen Procedures, Computations and Examples
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• The Distribution of the Latent Roots of the Covariance Matrix

Cited in

(1)

• On the measures of multicollinearity in least squares regression

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