Explicit solution to the minimization problem of generalized cross-validation criterion for selecting ridge parameters in generalized ridge regression

DOI10.32917/hmj/1533088835zbMath1401.62117OpenAlexW2181352585MaRDI QIDQ1990478

Hirokazu Yanagihara

Publication date: 25 October 2018

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

Full work available at URL: https://projecteuclid.org/euclid.hmj/1533088835

zbMATH Keywords

linear regression modelprincipal component regressiongeneralized ridge regressionexplicit optimal solutiongeneralized crossvalidation criterionhigh-dimensional explanatory variablesmultiple ridge parametersselection of ridge parameters

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical ranking and selection procedures (62F07)

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