On the Choice of the Ridge Parameter: A Maximum Entropy Approach

DOI10.1080/03610918.2010.508861zbMath1205.62096OpenAlexW2087013911MaRDI QIDQ3072396

Pedro Macedo, Elvira Silva, Manuel G. Scotto

Publication date: 3 February 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.508861

zbMATH Keywords

maximum entropyridge regressionridge parameterridge trace

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

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