Efficient estimates in regression models with highly correlated covariates

DOI10.1016/j.cam.2019.112416zbMath1436.62340OpenAlexW2969418178WikidataQ127372660 ScholiaQ127372660MaRDI QIDQ1989198

Ondřej Turek, Christos Koukouvinos, Marilena Mitrouli

Publication date: 24 April 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112416

zbMATH Keywords

extrapolationgeneralized cross-validationtuning parameterpenalized least squares

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Factorial statistical designs (62K15) Causal inference from observational studies (62D20)

Related Items

The application of regularisation to variable selection in statistical modelling

Uses Software

• Regularization tools
• lbdtik

Cites Work

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