Generalised ridge regression and a generalisation of the Cp statistic

Walker, Stephen G., Page, Christopher J. (2001) Generalised ridge regression and a generalisation of the Cp statistic. Journal of Applied Statistics, 28 (7). pp. 911-922. ISSN 0266-4763. (doi:10.1080/02664760120074988) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:10555)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL: http://dx.doi.org/10.1080/02664760120074988

Abstract

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.

Item Type:	Article
DOI/Identification number:	10.1080/02664760120074988
Subjects:	Q Science > QA Mathematics (inc Computing science)
Divisions:	Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User:	Judith Broom
Date Deposited:	11 Oct 2008 23:53 UTC
Last Modified:	05 Nov 2024 09:43 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/10555 (The current URI for this page, for reference purposes)

University of Kent Author Information

Walker, Stephen G..

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