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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