The Frisch-Waugh-Lovell theorem for the Lasso and the ridge regression

DOI10.1080/03610926.2016.1252403zbMATH Open1462.62450OpenAlexW2548544908MaRDI QIDQ4595876FDOQ4595876

Authors: Hiroshi Yamada 

Publication date: 6 December 2017

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

Full work available at URL: https://doi.org/10.1080/03610926.2016.1252403

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zbMATH Keywords

ridge regressionlinear mixed modelLasso regression\(\ell_1\) trend filteringFWL theorempenalized least-squares regression

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07)

Cited In (4)

• The Frisch-Waugh-Lovell theorem for standard errors
• Extensions of the Frisch-Waugh-Lovell theorem
• An automated approach towards sparse single-equation cointegration modelling
• Trend extraction from economic time series with missing observations by generalized Hodrick-Prescott filters

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