Relations between Ridge Regression and Eigenanalysis of the Augmented Correlation Matrix Export

@article{citeulike:3180562, abstract = {It is known that if the augmented correlation matrix of the dependent and independent variables in a multiple regression is subjected to principal component analysis, the multiple regression function may be obtained as a weighted sum of the eigenvectors. It is shown that the ridge regression is also a weighted sum of the eigenvectors, and an extension to ridge regression is discussed.}, author = {Hawkins, Douglas M.}, citeulike-article-id = {3180562}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/1268435}, citeulike-linkout-1 = {http://www.jstor.org/stable/1268435}, doi = {10.2307/1268435}, issn = {00401706}, journal = {Technometrics}, keywords = {regression, ridge}, number = {4}, pages = {477--480}, posted-at = {2008-09-02 06:30:11}, priority = {2}, publisher = {American Statistical Association and American Society for Quality}, title = {Relations between Ridge Regression and Eigenanalysis of the Augmented Correlation Matrix}, url = {http://dx.doi.org/10.2307/1268435}, volume = {17}, year = {1975} }

TY - JOUR ID - citeulike:3180562 L3 - citeulike-article-id:3180562 N2 - It is known that if the augmented correlation matrix of the dependent and independent variables in a multiple regression is subjected to principal component analysis, the multiple regression function may be obtained as a weighted sum of the eigenvectors. It is shown that the ridge regression is also a weighted sum of the eigenvectors, and an extension to ridge regression is discussed. IS - 4 JF - Technometrics SN - 00401706 EP - 480 TI - Relations between Ridge Regression and Eigenanalysis of the Augmented Correlation Matrix PB - American Statistical Association and American Society for Quality VL - 17 SP - 477 KW - regression KW - ridge AU - Hawkins, Douglas PY - 1975/// UR - http://dx.doi.org/10.2307/1268435 ER -