Transformation of variables and the condition number in ridge estimation

DOI10.1007/S00180-017-0769-4zbMATH Open1417.62202OpenAlexW2762605550MaRDI QIDQ722746FDOQ722746

Authors: 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

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zbMATH Keywords

ridge regressioncondition numbercollinearityeconometric models

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Ridge Regression: Applications to Nonorthogonal Problems
• Collinearity and least squares regression
• Ridge Regression in Practice
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• Biased Estimation in Regression: An Evaluation Using Mean Squared Error
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• Applied Regression Analysis
• Generalized Inverses, Ridge Regression, Biased Linear Estimation, and Nonlinear Estimation
• Ridge regression:some simulations
• Minimax ridge regression estimation
• Solving Systems of Linear Equations With a Positive Definite, Symmetric, but Possibly Ill-Conditioned Matrix
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• Meaningful Multicollinearity Measures
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• Condition Numbers and Minimax Ridge Regression Estimators
• Norms and inequalities for condition numbers
• Norms and inequalities for condition numbers. II
• A New Measure of Multicollinearity in Linear Regression Models
• Ridge regression and generalized maximum entropy: an improved version of the ridge-GME parameter estimator
• Recent results in ridge regression methods

Cited In (10)

• Collinearity: revisiting the variance inflation factor in ridge regression
• Residualization: justification, properties and application
• Obtaining a threshold for the Stewart index and its extension to ridge regression
• Variance Inflation Factor and Condition Number in multiple linear regression
• Concentration reversals in ridge regression
• The red indicator and corrected VIFs in generalized linear models
• Applications of the Householder transformation to ridge-type estimation methods
• Sensitivity of ridge-type estimation methods to condition number
• Bayesian ridge regression for survival data based on a vine copula-based prior
• Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients

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