Walker, S.G. and Page, C.J (2001) Generalised ridge regression and a generalisation of the Cp statistic. Journal of Applied Statistics, 28 (7). pp. 911-922. ISSN 0266-4763.
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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.
|Subjects:||Q Science > QA Mathematics (inc Computing science)|
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics|
|Depositing User:||Judith Broom|
|Date Deposited:||11 Oct 2008 23:53|
|Last Modified:||13 Mar 2012 10:09|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/10555 (The current URI for this page, for reference purposes)|
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