Optimization of ridge parameters in multivariate generalized ridge regression by plug-in methods

zbMath1257.62081MaRDI QIDQ1940034

Kenichi Satoh, Isamu Nagai, Hirokazu Yanagihara

Publication date: 5 March 2013

Published in: Hiroshima Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.hmj/1355238371

zbMATH Keywords

model selection; plug-in method; multivariate linear regression model; Mallows' \(C_p\) statistic; non-iterative estimation

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

Related Items

Unnamed Item, Generalized ridge estimator and model selection criteria in multivariate linear regression, Equivalence between adaptive Lasso and generalized ridge estimators in linear regression with orthogonal explanatory variables after optimizing regularization parameters, Consistent variable selection criteria in multivariate linear regression even when dimension exceeds sample size, A fast and consistent variable selection method for high-dimensional multivariate linear regression with a large number of explanatory variables, Ridge parameters optimization based on minimizing model selection criterion in multivariate generalized ridge regression, A fast algorithm for optimizing ridge parameters in a generalized ridge regression by minimizing a model selection criterion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• An approach to improving the James-Stein estimator
• An unbiased \(C_p\) criterion for multivariate ridge regression
• More Comments on C P
• The multivariate C_p
• A note on the generalized information criterion for choice of a model
• Mean Squared Error Properties of Generalized Ridge Estimators
• An Explicit Solution for Generalized Ridge Regression
• Modified AIC and Cp in multivariate linear regression
• Generalized ridge regression and a generalization of theC_Pstatistic
• Applied Multivariate Analysis
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• The optimal set of principal component restrictions on a least-squares regression
• Some Comments on C P