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Geometry of Ridge Regression Illustrated

 

作者: BeneeF. Swindel,  

 

期刊: The American Statistician  (Taylor Available online 1981)
卷期: Volume 35, issue 1  

页码: 12-15

 

ISSN:0003-1305

 

年代: 1981

 

DOI:10.1080/00031305.1981.10479296

 

出版商: Taylor & Francis Group

 

关键词: Collinearity;Principal component regression;Ridge regression;Ridge trace;Shrunken estimation

 

数据来源: Taylor

 

摘要:

For tutorial purposes ridge traces are displayed in estimation space for repeated samples from a completely known population. Figures given illustrate the initial advantages accruing to ridge-type shrinkage of the least squares coefficients, especially in some cases of near collinearity. The figures also show that other shrunken estimators may perform better or worse, depending on the parameters and design matrix; and they illustrate the problem of choosing a shrinkage parameter or stopping rule. Thus the figures help motivate results previously established algebraically.

 

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