An unbiased \(C_p\) criterion for multivariate ridge regression

DOI10.1016/j.jmva.2009.09.017zbMath1185.62123OpenAlexW1974452771MaRDI QIDQ962216

Hirokazu Yanagihara, Kenichi Satoh

Publication date: 6 April 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.09.017

zbMATH Keywords

model selectionridge regressionbias correctionmultivariate linear regression modelMallows' \(C_p\) statistic

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical ranking and selection procedures (62F07)

Related Items

Consistency of high-dimensional AIC-type and \(C_p\)-type criteria in multivariate linear regression ⋮ Forecasting vector autoregressions with mixed roots in the vicinity of unity ⋮ Optimization of ridge parameters in multivariate generalized ridge regression by plug-in methods ⋮ Selection of model selection criteria for multivariate ridge regression ⋮ Model averaging for multivariate multiple regression models ⋮ Generalized ridge estimator and model selection criteria in multivariate linear regression ⋮ OPTIMAL MULTISTEP VAR FORECAST AVERAGING

Uses Software

• bootstrap

Cites Work

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• Modified AIC and Cp in multivariate linear regression
• Applied Multivariate Analysis
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Some Comments on C P
• The Estimation of Prediction Error