Selection of model selection criteria for multivariate ridge regression

DOI10.32917/hmj/1368217951zbMath1348.62207OpenAlexW1529002450MaRDI QIDQ1952458

Isamu Nagai

Publication date: 30 May 2013

Published in: Hiroshima Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.hmj/1368217951

zbMATH Keywords

asymptotic expansionridge regressionmultivariate linear regression modelmodel selection criteriongeneralized \(C_p\) criterionselection of the model selection criterion

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Uses Software

• fminsearch

Cites Work

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• An unbiased \(C_p\) criterion for multivariate ridge regression
• Adaptive multivariate ridge regression
• More Comments on C P
• The multivariate C_p
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• On multivariate ridge regression
• On Measuring and Correcting the Effects of Data Mining and Model Selection
• A note on the generalized information criterion for choice of a model
• Mean Squared Error Properties of Generalized Ridge Estimators
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Modified AIC and Cp in multivariate linear regression
• Adaptive Model Selection
• Applied Multivariate Analysis
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Some Comments on C P
• The Estimation of Prediction Error

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