A revised Cholesky decomposition to combat multicollinearity in multiple regression models

DOI10.1080/00949655.2017.1328599OpenAlexW2615347437MaRDI QIDQ5106929

Mahdi Roozbeh, Saman Babaie-Kafaki

Publication date: 22 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2017.1328599

zbMATH Keywords

linear regressionmulticollinearityCholesky decompositionridge estimatorordinary least-squares estimator

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Iterative numerical methods for linear systems (65F10)

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