Geometry of Ridge Regression Illustrated

1 February 1981

journal article
research article
Published by Taylor & Francis in The American Statistician

Vol. 35 (1) , 12-15
https://doi.org/10.1080/00031305.1981.10479296

Abstract

For tutorial purposes ridge traces are displayed in estimation space for repeated samples from a completely known population. Figures given illustrate the initial advantages accruing to ridge-type shrinkage of the least squares coefficients, especially in some cases of near collinearity. The figures also show that other shrunken estimators may perform better or worse, depending on the parameters and design matrix; and they illustrate the problem of choosing a shrinkage parameter or stopping rule. Thus the figures help motivate results previously established algebraically.

Keywords

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