Transformation of variables and the condition number in ridge estimation

DOI10.1007/s00180-017-0769-4zbMath1417.62202MaRDI QIDQ722746

D. Kharzeev

Publication date: 27 July 2018

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-017-0769-4

zbMATH Keywords

condition number; ridge regression; collinearity; econometric models

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models