Ridge regression revisited
Statistica Neerlandica , Volume 59 - Issue 4 p. 498- 505
In general ridge (GR) regression ρ ridge parameters have to be determined, whereas simple ridge regression requires the determination of only one parameter. In a recent textbook on linear regression, Jürgen Gross argues that this constitutes a major complication. However, as we show in this paper, the determination of these ρ parameters can fairly easily be done. Furthermore, we introduce a generalization of the GR estimator derived by Hemmerle and by Teekens and de Boer. This estimator, which is more conservative, performs better than the Hoerl and Kennard estimator in terms of a weighted quadratic loss criterion.
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de Boer, P.M.C, & Hafner, C.M. (2005). Ridge regression revisited. Statistica Neerlandica, 59(4), 498–505. doi:10.1111/j.1467-9574.2005.00304.x