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

DOI10.32917/HMJ/1533088835zbMATH Open1401.62117OpenAlexW2181352585WikidataQ128864804 ScholiaQ128864804MaRDI QIDQ1990478FDOQ1990478

Authors: 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

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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

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

Cited In (6)

• Generalized multivariate ridge regression estimate and criteria Q(c) for choosing matrix \(K^*\)
• A Monte Carlo study on the ridge parameter of the seemingly unrelated ridge regression models
• A fast algorithm for optimizing ridge parameters in a generalized ridge regression by minimizing a model selection criterion
• Ridge parameters optimization based on minimizing model selection criterion in multivariate generalized ridge regression
• Equivalence between adaptive Lasso and generalized ridge estimators in linear regression with orthogonal explanatory variables after optimizing regularization parameters
• Optimal generalized ridge estimator under the generalized cross-validation criterion in linear regression

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