Transformation of variables and the condition number in ridge estimation

DOI10.1007/s00180-017-0769-4zbMath1417.62202OpenAlexW2762605550MaRDI 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 numberridge regressioncollinearityeconometric models

Mathematics Subject Classification ID

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

Related Items (6)

Variance Inflation Factor and Condition Number in multiple linear regression ⋮ The red indicator and corrected VIFs in generalized linear models ⋮ Bayesian ridge regression for survival data based on a vine copula-based prior ⋮ Obtaining a threshold for the Stewart index and its extension to ridge regression ⋮ Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients ⋮ Residualization: justification, properties and application

Cites Work

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

This page was built for publication: Transformation of variables and the condition number in ridge estimation