A Rational Interpretation of the Ridge Trace

The ridge regression estimator may be written as a linear combination of the least squares estimators derived from all possible subset regressions. This article delineates the relationship between the ridge estimator and the subset regression estimators and highlights the implications of this relati...

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Veröffentlicht in:	Technometrics 1984-11, Vol.26 (4), p.339-346
Hauptverfasser:	Gibbons, Diane I., McDonald, Gary C.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayes estimator Bayes estimators Coefficients Constrained least squares Estimators Estimators for the mean Exact sciences and technology Generalized variance Least squares Linear inference, regression Linear regression Mathematics Polynomials Probability and statistics Rates of change Ridge trace Sciences and techniques of general use Statistical variance Statistics Subset regressions Variable coefficients
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Beschreibung
Zusammenfassung:	The ridge regression estimator may be written as a linear combination of the least squares estimators derived from all possible subset regressions. This article delineates the relationship between the ridge estimator and the subset regression estimators and highlights the implications of this relationship for ridge trace interpretation. Ridge-regression examples are provided, illustrating how the interpretation of a ridge trace is enhanced.
ISSN:	0040-1706 1537-2723
DOI:	10.1080/00401706.1984.10487986