Finding the Best Regression Subset by Reduction in Nonfull-Rank Cases

DOI10.1137/S0895479891221721zbMath0797.65118MaRDI QIDQ4287904

Alan H. Feiveson

Publication date: 9 May 1994

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

numerical examplesubset selectionridge regressionlinear regressionleast squares fittingCholesky type factorization

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

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