Estimation of error variance via ridge regression

DOI10.1093/BIOMET/ASZ074MaRDI QIDQ5113023zbMATH OpenOpenAlexFDO

Authors Xu Liu, Shurong Zheng, Xingdong Feng

Publication date 9 June 2020

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asz074

zbMATH Keywords

ridge regressionvariance estimationrandom matrix theoryhigh dimension

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Analysis of variance and covariance (ANOVA) (62J10) Random matrices (probabilistic aspects) (60B20)

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Cited in

(10)

• Error covariance matrix estimation using ridge estimator
• The discovery of mean square error consistency of a ridge estimator
• Variance estimation in high-dimensional linear regression via adaptive elastic-net
• Some aspects of response variable selection and estimation in multivariate linear regression
• On the mean squared error of the ridge estimator of the covariance and precision matrix
• Error variance estimation in ultrahigh-dimensional additive models
• Estimating the error variance in a high-dimensional linear model
• Densely connected sub-Gaussian linear structural equation model learning via \(\ell_1\)- and \(\ell_2\)-regularized regressions
• Sparse covariance matrix estimation for ultrahigh dimensional data
• Asymptotic bias of the \(\ell_2\)-regularized error variance estimator

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