A risk comparison of ordinary least squares vs ridge regression

Journal of Machine Learning Research

Volumn 14, Issue , 2013, Pages 1505-1511

  Dhillon, Paramveer S ^a   Foster, Dean P ^b   Kakade, Sham M ^c   Ungar, Lyle H ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

^c MICROSOFT RESEARCH   (United Kingdom)

Author keywords

PCA; Ridge regression; Risk inflation

Indexed keywords

CONSTANT FACTORS; FINITE DIMENSIONAL; LEAST SQUARES REGRESSION; ORDINARY LEAST SQUARES; ORDINARY LEAST SQUARES METHODS; PCA; RIDGE REGRESSION; RISK COMPARISON;

PRINCIPAL COMPONENT ANALYSIS; REGRESSION ANALYSIS;

LEAST SQUARES APPROXIMATIONS;

EID: 84884230761     PISSN: 15324435     EISSN: 15337928     Source Type: Journal    
DOI: None     Document Type: Article

References (2)

1. D. P. Foster and E. I. George. The risk inflation criterion for multiple regression. The Annals of Statistics, pages 1947-1975, 1994.
2. A. N. Tikhonov. Solution of incorrectly formulated problems and the regularization method. Soviet Math Dokl 4, pages 501-504, 1963.