Selecting the optimum k in ridge regression

DOI10.1080/03610928508828997MaRDI QIDQ3698103zbMATHOpenAlexFDO

Authors 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

ridge regressionprediction errormean squared errorleast squares estimatorNewton-Raphson methodoptimal ridge parameter

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 3716707 (Why is no real title available?)
• scientific article; zbMATH DE number 3076197 (Why is no real title available?)
• A procedure for determination of a good ridge parameter in linear regression
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• Modern Error Analysis
• Regresion analysis with multicollinear predictor variables: definition, derection, and effects
• Ridge and related estimation procedures: theory and practice
• Ridge regression:some simulations

Cited in

(9)

• A ridge-type estimator and good prior means
• A comparison of biased regression estimators using a pitman nearness criterion
• On exact small sample properties of the minimax generalized ridge regression estimators
• On exact small sample properties of ordinary ridge estimators
• On the almost unbiased ridge regression estimator
• A simulation study of deterministic ridge estimators
• Model selection in kernel ridge regression
• Stability of the inverse correlation matrix. Partial ridge regression
• Determination of unit hydrographs by multiple storm analysis

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