Generalized ridge regression and a generalization of the CP statistic

We consider a generalization of ridge regression and demonstrate advantages over ridge regression. We provide an empirical Bayes method for determining the ridge constants, using the Bayesian interpretation of ridge estimators, and show that this coincides with a method based on a generalization of the CP statistic and the non-negative garrote. These provide an automatic variable selection procedure for the canonical variables.

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Year of publication:	2001
Authors:	Walker, Stephen ; Page, Christopher
Published in:	Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 28.2001, 7, p. 911-922
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005278932