Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1974 · 126 citations · 5 references
Natural SciencesBiostatisticsBayesian Data AnalysisStatistical ModelingStatisticsBayesian InferenceEstimation TheoryGeneralized Linear ModelsParameter EstimationRegressionStatistical InferenceEstimation Of Regression ModelsJames-stein EstimationJames-stein RuleJames-stein ShrinkageLeast Squares EstimationRidge AnalysisRidge RegressionShrinkage Estimation
Summary An examination of the mean-square error properties of a class of shrinkage estimators for the normal regression model leads to a new derivation of the Hoerl–Kennard (1970) Ridge estimator and its generalization. Comparison is made with the James–Stein estimator, and with the generalized-inverse estimator proposed by Marquardt (1970). A Bayesian approach is noted.
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Ridge Regression: Biased Estimation for Nonorthogonal Problems
Arthur E. Hoerl, Robert W. Kennard · Technometrics · 1970 · 8.9K citations