A ridge to homogeneity for linear models

DOI10.1080/00949655.2020.1779722OpenAlexW3036380192MaRDI QIDQ5033433FDOQ5033433

Authors: Stanislav Anatolyev 

Publication date: 23 February 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2020.1779722

zbMATH Keywords

ridge regressionshrinkagecross-validationpredictive mean squared errorheterogeneous panel datahomogeneity restrictions

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Good ridge estimators based on prior information
• Title not available (Why is that?)
• Efficient shrinkage in parametric models
• Regression estimators. A comparative study.
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• The conditional autoregressive Wishart model for multivariate stock market volatility
• A Stein-rule method for pooling data
• Proximity-structured multivariate volatility models

Cited In (1)

• Unrestricted, restricted, and regularized models for forecasting multivariate volatility

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