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A computer intensive method for choosing the ridge parameter

Author

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  • Lübke, Karsten
  • Czogiel, Irina
  • Weihs, Claus

Abstract

In this paper we describe a computer intensive method to find the ridge parameter in a prediction oriented linear model. With the help of a factorial experimental design the method is tested and compared to a classical one.

Suggested Citation

  • Lübke, Karsten & Czogiel, Irina & Weihs, Claus, 2004. "A computer intensive method for choosing the ridge parameter," Technical Reports 2004,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200411
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    References listed on IDEAS

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    1. Hawkins, Douglas M. & Yin, Xiangrong, 2002. "A faster algorithm for ridge regression of reduced rank data," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 253-262, August.
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