Stability of the inverse correlation matrix. Partial ridge regression

DOI10.1016/S0378-3758(98)00195-5zbMath0943.62064MaRDI QIDQ1298948

Thierry Foucart

Publication date: 10 September 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

ridge regressioncollinearityinverse correlation matrix

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items

THE DISTRIBUTION OF STOCHASTIC SHRINKAGE PARAMETERS IN RIDGE REGRESSION

Uses Software

• AS 223

Cites Work

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• The Collinearity Problem in Linear Regression. The Partial Least Squares (PLS) Approach to Generalized Inverses
• A procedure for determination of a good ridge parameter in linear regression
• Selecting the optimum k in ridge regression
• The Cholesky Factorization of the Inverse Correlation or Covariance Matrix in Multiple Regression
• Latent Root Regression Analysis
• Stabilité de la matrice inverse d'une matrice symétrique définie positive
• Multiple Linear Regression on Canonical Correlation Variables
• Algorithm AS 223: Optimum Ridge Parameter Selection
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Ridge Regression: Applications to Nonorthogonal Problems