An even faster algorithm for ridge regression of reduced rank data

DOI10.1016/j.csda.2004.09.007zbMath1432.62224OpenAlexW2086485533MaRDI QIDQ959191

Turlach, Berwin A.

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.09.007

zbMATH Keywords

ridge regressionmatrix factorizationcross validationbidiagonal factorization

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Numerical solutions to overdetermined systems, pseudoinverses (65F20)

Related Items (3)

Fast Cross-validation for Multi-penalty High-dimensional Ridge Regression ⋮ Fast model-fitting of Bayesian variable selection regression using the iterative complex factorization algorithm ⋮ Editorial: Statistical learning methods including dimensionality reduction

Uses Software

• R

Cites Work

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• A note on the computation of the generalized cross-validation function for ill-conditioned least squares problems
• A faster algorithm for ridge regression of reduced rank data
• Algorithms for the regularization of ill-conditioned least squares problems
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

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