Cross validation of ridge regression estimator in autocorrelated linear regression models

DOI10.1080/00949655.2015.1112392MaRDI QIDQ5222490

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 regression; generalized cross validation; autocorrelation; multicollinearity; ordinary cross validation; conceptual prediction

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

62J20: Diagnostics, and linear inference and regression

Related Items

Shrinkage parameter selection via modified cross-validation approach for ridge regression model

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