A generalized view on continuum regression

Citation
A. Bjorkstrom et R. Sundberg, A generalized view on continuum regression, SC J STAT, 26(1), 1999, pp. 17-30
Citations number
14
Categorie Soggetti
Mathematics
Journal title
SCANDINAVIAN JOURNAL OF STATISTICS
ISSN journal
03036898 → ACNP
Volume
26
Issue
1
Year of publication
1999
Pages
17 - 30
Database
ISI
SICI code
0303-6898(199903)26:1<17:AGVOCR>2.0.ZU;2-Q
Abstract
We generalize the relationship between continuum regression (Stone & Brooks , 1990) and ridge regression, by showing that any optimization principle wi ll yield a regressor proportional to a ridge regressor, provided only that the principle implies maximizing a function of the regressor's sample corre lation coefficient and its sample variance, This relationship shows that co ntinuum regression as defined via ridge regression ("least squares ridge re gression") is a more generally valid methodology than previously realized, and also opens up for alternative choices of its second and subsequent fact ors.