English
Related papers

Related papers: Ridge Estimation of Inverse Covariance Matrices fr…

200 papers

This article explores the estimation of precision matrices in high-dimensional Gaussian graphical models. We address the challenge of improving the accuracy of maximum likelihood-based precision estimation through penalization.…

Methodology · Statistics 2023-12-27 A. Bekker , A. Kheyri , M. Arashi

We study a ridge estimator for the high-dimensional two-way fixed effect regression model with a sparse bipartite network. We develop concentration inequalities showing that when the ridge parameters increase as the log of the network size,…

Econometrics · Economics 2026-01-08 Junnan He , Jean-Marc Robin

We consider the problem of jointly estimating multiple inverse covariance matrices from high-dimensional data consisting of distinct classes. An $\ell_2$-penalized maximum likelihood approach is employed. The suggested approach is flexible…

While shrinkage is essential in high-dimensional settings, its use for low-dimensional regression-based prediction has been debated. It reduces variance, often leading to improved prediction accuracy. However, it also inevitably introduces…

For high-dimensional linear regression models, we review and compare several estimators of variances $\tau^2$ and $\sigma^2$ of the random slopes and errors, respectively. These variances relate directly to ridge regression penalty…

Computation · Statistics 2019-02-08 Jurre R. Veerman , Gwenael G. R. Leday , Mark A. van de Wiel

The estimation of the mean matrix of the multivariate normal distribution is addressed in the high dimensional setting. Efron-Morris-type linear shrinkage estimators based on ridge estimators for the precision matrix instead of the…

Statistics Theory · Mathematics 2020-07-07 Ryota Yuasa , Tatsuya Kubokawa

In this paper, a new ridge-type shrinkage estimator for the precision matrix has been proposed. The asymptotic optimal shrinkage coefficients and the theoretical loss were derived. Data-driven estimators for the shrinkage coefficients were…

Methodology · Statistics 2019-09-04 Cheng Wang , Guangming Pan , Longbing Cao

High-dimensional prediction with multiple data types needs to account for potentially strong differences in predictive signal. Ridge regression is a simple model for high-dimensional data that has challenged the predictive performance of…

Methodology · Statistics 2021-04-02 Mark A. van de Wiel , Mirrelijn M. van Nee , Armin Rauschenberger

Ridge regression is a popular method for dense least squares regularization. In this work, ridge regression is studied in the context of VAR model estimation and inference. The implications of anisotropic penalization are discussed and a…

Methodology · Statistics 2024-06-21 Giovanni Ballarin

High-dimensional linear regression has been thoroughly studied in the context of independent and identically distributed data. We propose to investigate high-dimensional regression models for independent but non-identically distributed…

Statistics Theory · Mathematics 2026-05-20 Jérémie Bigot , Issa-Mbenard Dabo , Camille Male

Because of the advance in technologies, modern statistical studies often encounter linear models with the number of explanatory variables much larger than the sample size. Estimation and variable selection in these high-dimensional problems…

Statistics Theory · Mathematics 2012-06-06 Jun Shao , Xinwei Deng

We provide a unified analysis of the predictive risk of ridge regression and regularized discriminant analysis in a dense random effects model. We work in a high-dimensional asymptotic regime where $p, n \to \infty$ and $p/n \to \gamma \in…

Statistics Theory · Mathematics 2015-11-05 Edgar Dobriban , Stefan Wager

The linear regression model cannot be fitted to high-dimensional data, as the high-dimensionality brings about empirical non-identifiability. Penalized regression overcomes this non-identifiability by augmentation of the loss function by a…

Methodology · Statistics 2023-06-29 Wessel N. van Wieringen

In this study, we propose shrinkage methods based on {\it generalized ridge regression} (GRR) estimation which is suitable for both multicollinearity and high dimensional problems with small number of samples (large $p$, small $n$). Also,…

Statistics Theory · Mathematics 2020-03-04 Bahadır Yüzbaşı , Mohammad Arashi , S. Ejaz Ahmed

We propose a penalized likelihood method to jointly estimate multiple precision matrices for use in quadratic discriminant analysis and model based clustering. A ridge penalty and a ridge fusion penalty are used to introduce shrinkage and…

Machine Learning · Statistics 2014-05-06 Bradley S. Price , Charles J. Geyer , Adam J. Rothman

A conventional wisdom in statistical learning is that large models require strong regularization to prevent overfitting. Here we show that this rule can be violated by linear regression in the underdetermined $n\ll p$ situation under…

Statistics Theory · Mathematics 2024-06-06 Dmitry Kobak , Jonathan Lomond , Benoit Sanchez

Ridge regression is a well established regression estimator which can conveniently be adapted for classification problems. One compelling reason is probably the fact that ridge regression emits a closed-form solution thereby facilitating…

Machine Learning · Computer Science 2020-03-26 Jakramate Bootkrajang

Ridge regression with random coefficients provides an important alternative to fixed coefficients regression in high dimensional setting when the effects are expected to be small but not zeros. This paper considers estimation and prediction…

Machine Learning · Statistics 2023-06-29 Hongzhe Zhang , Hongzhe Li

Recently, deep neural networks have been found to nearly interpolate training data but still generalize well in various applications. To help understand such a phenomenon, it has been of interest to analyze the ridge estimator and its…

Statistics Theory · Mathematics 2024-05-03 Libin Liang , Zhiqiang Tan

When the regressors of a econometric linear model are nonorthogonal, it is well known that their estimation by ordinary least squares can present various problems that discourage the use of this model. The ridge regression is the most…

‹ Prev 1 2 3 10 Next ›