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Fu, W. J. (1997). "Penalized Regressions: the Bridge versus the Lasso." One of 4 winners in the 1997 student paper competition sponsored by the ASA Statistical Computing Section.
Wenjiang's thesis under Rob Tibshani at the University of Toronto is entitled "A Statistical Shrinkage Model and Its Applications."
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Mallows, C. L. (1995). "More comments on Cp." Technometrics 37, 362-372.
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Nash reviewed PC software that included softRX freeware stand-alone (DOS) applications.
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Ordinary least squares and diagonally-weighted least squares always produce residuals that are optimal estimators of lack-of-fit ...even when the expectation model and/or dispersion model you have specified are/is wrong!
Obenchain, R. L. (1975b). "Ridge analysis following a preliminary test of the shrunken hypothesis" (with discussion.) Technometrics 17, 431-445.
Classical, normal-theory monitoring of the likelihood-of-MSE-optimality along ANY shrinkage path.
Obenchain, R. L. (1977). "Classical F-tests and confidence regions for ridge regression." Technometrics 19, 429-439.
See this paper and/or my Frequently-Asked-Questions page for information on confidence intervals in shrinkage regression.
Obenchain, R. L. (1978). "Good and optimal ridge estimators." Annals of Statistics 6, 1111-1121.
The "ridge-function" theorem; maximum likelihood estimation of the "inferior direction" and of scaled MSE risk along any direction in p-dimensional regression coefficient space; MSE risk optimality of 0 or X'y along directions orthogonal to or parallel to beta, respectively.
Obenchain, R. L. (1980). Comment on "A critique of some ridge regression methods." Journal of the American Statistical Association 75, 95-96.
Obenchain, R. L. (1981). "Maximum likelihood ridge regression and the shrinkage pattern alternatives." I.M.S. Bulletin 10, 37; Absract 81t-23. (67 page review article.)
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Proceedings of the Fordham Ridge Symposium, ed. H. D. Vinod; illustrations of usage of RXridge SAS/IML freeware.
Obenchain, R. L. (1995). "Maximum likelihood ridge regression." Stata Technical Bulletin 28, 22-36. View/Download Paper
Introduction to basic shrinkage/ridge concepts; illustrations of usage of RXridge .ADO freeware.
Obenchain, R. L. (1996-2005). Shrinkage Regression: ridge, BLUP, Bayes and Stein. Unfinished eBook draft (185 pages.)
Obenchain, R. L. (1997). "Maximum likelihood shrinkage in regression."
Obenchain, R. L. (1998). "Influential observations in ridge regression."
Use the main eBook MENU to download PDFs for any of the above three items.
Obenchain, R. L. (2005). RXshrink: an R package for maximum likelihood shrinkage in generalized (2-parameter) ridge regression or least angle regression (LAR). CRAN.R-project.org Or...Download vignette-like PDF
Obenchain RL. PDF File containing copies of all the Shrinkage Regression Tutorial pages from this web site. [16 pages.] 2008. View/Download PDF
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