Influence measures in ridge regression when the error terms follow an AR(1) process

DOI10.1007/s00180-015-0615-5zbMath1347.65032MaRDI QIDQ311286

Tuğba Söküt Açar, M. Revan Özkale

Publication date: 29 September 2016

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

Full work available at URL: https://doi.org/10.1007/s00180-015-0615-5

zbMATH Keywords

autocorrelation; multicollinearity; regression diagnostics; ridge estimator; generalized least squares estimator

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J07: Ridge regression; shrinkage estimators (Lasso)

Related Items

Regression diagnostics methods for Liu estimator under the general linear regression model, Influence measures based on confidence ellipsoids in general linear regression model with correlated regressors, Cross validation of ridge regression estimator in autocorrelated linear regression models

Uses Software

• alr3

Cites Work

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