Algorithm AS 223: Optimum Ridge Parameter Selection

DOI10.2307/2347851zbMath0613.62092OpenAlexW2521784331MaRDI QIDQ4720594

Tze-San Lee

Publication date: 1987

Published in: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2347851

zbMATH Keywords

Newton-Raphson methodridge regressionISO FortranAlgorithm AS 223optimum ridge parameter selection

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (5)

Simultaneous dimension reduction and variable selection in modeling high dimensional data ⋮ Probabilistic-statistical programs from ``Applied Statistics ⋮ Model averaging estimator in ridge regression and its large sample properties ⋮ AS 223 ⋮ Stability of the inverse correlation matrix. Partial ridge regression

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