1973National Bureau of Economic ResearchOpen access

Weighted Ridge Regression: Combining Ridge and Robust Regression Methods

Paul W. Holland

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Abstract

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 regres.sionwith robust regression methods. C)

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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 regres.sionwith robust regression methods. C)

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Available abstract

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 regres.sionwith robust regression methods. C)

Key concepts: Ridge, Regression, Robust regression, Regression analysis, Statistics, Elastic net regularization, Local regression, Regression diagnostic

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