Cross validation of ridge regression estimator in autocorrelated linear regression models

DOI10.1080/00949655.2015.1112392MaRDI QIDQ5222490zbMATH OpenOpenAlexFDO

Authors Tuğba Söküt Açar, M. Revan Özkale

Publication date 1 April 2020

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

Full work available at URL https://doi.org/10.1080/00949655.2015.1112392

zbMATH Keywords

ridge regressionautocorrelationmulticollinearitygeneralized cross validationordinary cross validationconceptual prediction

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Diagnostics, and linear inference and regression (62J20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 3816886 (Why is no real title available?)
• scientific article; zbMATH DE number 45973 (Why is no real title available?)
• A Monte Carlo Evaluation of Some Ridge-Type Estimators
• A Simulation Study of Ridge Regression Estimators with Autocorrelated Errors
• A new class of blased estimate in linear regression
• A simulation study of ridge and other regression estimators
• Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
• Influence measures in ridge regression when the error terms follow an AR(1) process
• Introduction to linear regression analysis.
• On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors
• Performance of Some New Ridge Regression Estimators
• Predictive performance of linear regression models
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Ridge regression:some simulations
• Some Comments on C P
• The Relationship between Variable Selection and Data Agumentation and a Method for Prediction
• The Restricted and Unrestricted Two-Parameter Estimators

Cited in

(7)

• Efficient estimates in regression models with highly correlated covariates
• Ridge Estimation in Linear Models with Autocorrelated Errors
• The ridge prediction error sum of squares statistic in linear mixed models
• A note on collinearity, bootstrapping, and cross-validation
• Shrinkage parameter selection via modified cross-validation approach for ridge regression model
• Predictive performance of linear regression models
• A Simulation Study of Ridge Regression Estimators with Autocorrelated Errors

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