On multivariate ridge regression

DOI10.1093/biomet/74.3.563zbMath0658.62082OpenAlexW2043063707MaRDI QIDQ3806610

Yoel Haitovsky

Publication date: 1987

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/293092/files/amsterdam061.pdf

zbMATH Keywords

EM algorithmexchangeabilityidentifiabilityconjugate priorsmaximum likelihood estimatemultivariate linear regression modelStein estimatormean of multivariate normal distributionBayesian estimateslinear hierarchical modelLindley-Smith model estimatemultivariate ridge estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (8)

Modified Ridge Parameters for Seemingly Unrelated Regression Model ⋮ On multivariate linear regression shrinkage and reduced-rank procedures ⋮ On The Least Absolute Deviations Method for Ridge Estimation of Sure Models ⋮ Selection of model selection criteria for multivariate ridge regression ⋮ Developing Ridge Parameters for SUR Model ⋮ Generalized multivariate ridge regression estimate and criteria Q(c) for choosing matrix \(K^*\) ⋮ Asymptotic Aspects of Ordinary Ridge Regression ⋮ Regularized linear and kernel redundancy analysis

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