Weighted Ridge Regression: Combining Ridge and Robust Regression Methods

Paul W. Holland

No 11, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper 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 regression with robust regression methods.

Date: 1973-09
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