Selecting the optimum k in ridge regression

DOI10.1080/03610928508828997zbMath0577.62063OpenAlexW2046464362MaRDI QIDQ3698103

Tze-San Lee, Don B. Campbell

Publication date: 1985

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928508828997

zbMATH Keywords

mean squared errorprediction errorNewton-Raphson methodridge regressionleast squares estimatoroptimal ridge parameter

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Monte Carlo methods (65C05)

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Cites Work

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• A procedure for determination of a good ridge parameter in linear regression
• Regresion analysis with multicollinear predictor variables: definition, derection, and effects
• Ridge regression:some simulations
• A simulation study of ridge and other regression estimators
• Ridge and related estimation procedures: theory and practice
• Modern Error Analysis