An Explicit Solution for Generalized Ridge Regression

Article

Hemmerle, William J.*   (1975, ASQC and the American Statistical Association)   University of Rhode Island, Kingston, RI

Technometrics    Vol. 17    No. 3
QICID: 8622    August 1975    pp. 309-314
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Article Abstract

* - This work was partially supported by the National Science Foundation under Grant No. DCR74-15331The general form of ridge regression proposed by Hoerl and Kennard is examined in the context of the iterative procedure they suggest for optimal estimators. It is shown that a non-iterative, closed form solution is available for this procedure. The solution is found to depend upon certain convergence/divergence conditions which relate to the ordinary least squares estimators. Numerical examples are given.

Keywords

Estimation


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