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

DOI10.1080/03610926.2016.1252403MaRDI QIDQ4595876zbMATH OpenOpenAlexFDO

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

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)

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(4)

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• Extensions of the Frisch-Waugh-Lovell theorem
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• Trend extraction from economic time series with missing observations by generalized Hodrick-Prescott filters

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