Selection of model selection criteria for multivariate ridge regression

DOI10.32917/hmj/1368217951zbMath1348.62207MaRDI QIDQ1952458

Isamu Nagai

Publication date: 30 May 2013

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

Full work available at URL: https://projecteuclid.org/euclid.hmj/1368217951

zbMATH Keywords

asymptotic expansion; ridge regression; multivariate linear regression model; model selection criterion; generalized \(C_p\) criterion; selection of the model selection criterion

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

Uses Software

• fminsearch

Cites Work

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