A ridge to homogeneity for linear models

DOI10.1080/00949655.2020.1779722MaRDI QIDQ5033433zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• scientific article; zbMATH DE number 3443026 (Why is no real title available?)
• A Stein-rule method for pooling data
• Efficient shrinkage in parametric models
• Good ridge estimators based on prior information
• Proximity-structured multivariate volatility models
• Regression estimators. A comparative study.
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• The conditional autoregressive Wishart model for multivariate stock market volatility

Cited in

(1)

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

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