Cross validation of ridge regression estimator in autocorrelated linear regression models
DOI10.1080/00949655.2015.1112392OpenAlexW2290706096MaRDI QIDQ5222490FDOQ5222490
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
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ridge regressionautocorrelationmulticollinearitygeneralized cross validationordinary cross validationconceptual prediction
Linear regression; mixed models (62J05) Diagnostics, and linear inference and regression (62J20) Ridge regression; shrinkage estimators (Lasso) (62J07)
Cites Work
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- Some Comments on C P
- Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
- Ridge Regression: Biased Estimation for Nonorthogonal Problems
- Introduction to linear regression analysis.
- The Relationship between Variable Selection and Data Agumentation and a Method for Prediction
- A Monte Carlo Evaluation of Some Ridge-Type Estimators
- A new class of blased estimate in linear regression
- Performance of Some New Ridge Regression Estimators
- Ridge regression:some simulations
- On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors
- A Simulation Study of Ridge Regression Estimators with Autocorrelated Errors
- The Restricted and Unrestricted Two-Parameter Estimators
- Predictive performance of linear regression models
- Influence measures in ridge regression when the error terms follow an AR(1) process
- Title not available (Why is that?)
- A simulation study of ridge and other regression 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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