Weighted Ridge Regression : Combining Ridge and Robust Regression Methods

This paper gives the formulas for and derivation of ridge regression methods when there are weights associated with each observation. A Bayesian motivation is used and various choices of k are discussed. A suggestion is made as to how to combine ridge regression with robust regression methods

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Year of publication:	[2022]
Authors:	Holland, Paul W.
Publisher:	[S.l.] : SSRN
Subject:	Regressionsanalyse \| Regression analysis \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (22 p)
Series:	NBER Working Paper ; No. w0011
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1973 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013308638