An unbiased C_p criterion for multivariate ridge regression

DOI10.1016/J.JMVA.2009.09.017MaRDI QIDQ962216zbMATH OpenOpenAlexFDO

Authors Hirokazu Yanagihara, Kenichi Satoh

Publication date 6 April 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2009.09.017

zbMATH Keywords

model selectionridge regressionbias correctionmultivariate linear regression modelMallows' \(C_p\) statistic

Mathematics Subject Classification ID

Statistical ranking and selection procedures (62F07) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

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• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• Applied Multivariate Analysis
• Asymptotic optimality of \(C_ L\) and generalized cross-validation in ridge regression with application to spline smoothing
• Bias Corrections of some Criteria for Selecting Multivariate Linear Models in a General Nonnormal Case
• Corrected versions of cross-validation criteria for selecting multivariate regression and growth curve models
• Modified AIC and Cp in multivariate linear regression
• More Comments on C P
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Some Comments on C P
• The Estimation of Prediction Error
• The multivariate C_p

Cited in

(14)

• Generalized multivariate ridge regression estimate and criteria Q(c) for choosing matrix K^*
• Model averaging for multivariate multiple regression models
• Generalized ridge estimator and model selection criteria in multivariate linear regression
• Optimization of ridge parameters in multivariate generalized ridge regression by plug-in methods
• Selection of model selection criteria for multivariate ridge regression
• scientific article; zbMATH DE number 4078546 (Why is no real title available?)
• Consistency of high-dimensional AIC-type and \(C_p\)-type criteria in multivariate linear regression
• Optimal multistep VAR forecast averaging
• scientific article; zbMATH DE number 3848435 (Why is no real title available?)
• Forecasting vector autoregressions with mixed roots in the vicinity of unity
• An unbiased \(C_{p}\) type criterion for ANOVA model with a tree order restriction
• Accurate distributions of Mallows' \(\operatorname{C}_p\) and its unbiased modifications with applications to shrinkage estimation
• Using a truncated \(C_p\) statistic for variable selection in multiple linear regression
• Generalized ridge regression and a generalization of theC_Pstatistic

Describes a project that uses

Uses Software

• bootstrap

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