An iterative approach to minimize the mean squared error in ridge regression

DOI10.1007/S00180-015-0557-YzbMATH Open1317.65047OpenAlexW2043495477MaRDI QIDQ2354752FDOQ2354752

Authors: Yanyan Li 

Publication date: 24 July 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-015-0557-y

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zbMATH Keywords

least squaresmulticollinearityoptimal ridge parameter

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Ridge Regression: Applications to Nonorthogonal Problems
• Regression. Models, methods and applications
• The Relationship between Variable Selection and Data Agumentation and a Method for Prediction
• A Monte Carlo Evaluation of Some Ridge-Type Estimators
• On the almost unbiased ridge regression estimator
• Performance of Some New Ridge Regression Estimators
• Ridge regression:some simulations
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• Title not available (Why is that?)
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• Linear regression.
• Alternative method for choosing ridge parameter for regression
• On Some Ridge Regression Estimators: An Empirical Comparisons
• Ridge Regression – A Simulation Study
• A Monte Carlo Study of Recent Ridge Parameters
• A simulation study of ridge and other regression estimators
• Ridge regression iterative estimation of the biasing parameter
• A Class of Biased Estimators in Linear Regression
• Some Modifications for Choosing Ridge Parameters
• Choosing Ridge Parameter for Regression Problems
• A Simulation Study of Alternatives to Ordinary Least Squares

Cited In (8)

• Robust ridge M-estimators with pretest and Stein-rule shrinkage for an intercept term
• Variant of Greedy Randomized Gauss-Seidel Method for Ridge Regression
• The optimality of iterative maximum penalized likelihood algorithms for ridge regression
• Optimal determination of the parameters of some biased estimators using genetic algorithm
• A Bayesian approach with generalized ridge estimation for high-dimensional regression and testing
• Bootstrap selection of ridge regularization parameter: a comparative study via a simulation study
• Comparison of deviance and ridge deviance residual-based control charts for monitoring Poisson profiles
• Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients

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