SHRINKAGE REGRESSION PREDICTOR IN A GENERALIZED LINEAR MODEL WITH AUTOCORRELATED ERROR TERM

DOI10.14490/JJSS1995.29.23zbMath0934.62072OpenAlexW2039030885MaRDI QIDQ4269624

Takakatsu Inoue

Publication date: 27 April 2000

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss1995.29.23

zbMATH Keywords

ridge regressionprior distributionMonte-Carlo simulationprediction areapredictor of Goldberger

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

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