A ridge to homogeneity for linear models

DOI10.1080/00949655.2020.1779722OpenAlexW3036380192MaRDI QIDQ5033433

Stanislav Anatolyev

Publication date: 23 February 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2020.1779722

zbMATH Keywords

cross-validationridge regressionshrinkagepredictive mean squared errorheterogeneous panel datahomogeneity restrictions

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Unrestricted, restricted, and regularized models for forecasting multivariate volatility

Cites Work

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• A Stein-rule method for pooling data
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Efficient shrinkage in parametric models
• Good ridge estimators based on prior information
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Proximity-Structured Multivariate Volatility Models

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