Ridge regression and generalized maximum entropy: an improved version of the ridge-GME parameter estimator

DOI10.1080/03610918.2015.1096378zbMATH Open1368.62206OpenAlexW2383561645MaRDI QIDQ4976544FDOQ4976544

Authors: Pedro Macedo 

Publication date: 31 July 2017

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1096378

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zbMATH Keywords

ridge regressionshrinkage estimationgeneralized maximum entropy

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Measures of information, entropy (94A17)

Cites Work

• Least angle regression. (With discussion)
• Regularization and Variable Selection Via the Elastic Net
• Using Liu-Type Estimator to Combat Collinearity
• A new biased estimator based on ridge estimation
• Probability Theory
• Performance of Some New Ridge Regression Estimators
• Ridge regression:some simulations
• On Some Ridge Regression Estimators: An Empirical Comparisons
• A Monte Carlo Study of Recent Ridge Parameters
• Choosing Ridge Parameter for Regression Problems
• Characterization of Ridge Trace Behavior
• Comparing generalised maximum entropy and partial least squares methods for structural equation models
• Comparative statics of the generalized maximum entropy estimator of the general linear model
• On the choice of the ridge parameter: a maximum entropy approach
• Computational method for jackknifed generalized ridge tuning parameter based on generalized maximum entropy

Cited In (10)

• On regularization of generalized maximum entropy for linear models
• A Bayesian asymmetric logistic model of factors underlying team success in top‐level basketball in Spain
• Transformation of variables and the condition number in ridge estimation
• Computational method for jackknifed generalized ridge tuning parameter based on generalized maximum entropy
• Stochastic frontier analysis with maximum entropy estimation
• Freedman’s Paradox: A Solution Based on Normalized Entropy
• On the choice of the ridge parameter: a maximum entropy approach
• Ridge-GME estimation in linear mixed models
• Ridge estimation in linear mixed measurement error models using generalized maximum entropy
• A two-stage maximum entropy approach for time series regression

Uses Software

• Matlab

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