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Shrinkage Regression:

ridge, BLUP, Bayes, spline & Stein

1985 - 2004, 185 pages [1,806K]

Left-click on the link above to view or download the PDF file for my unfinished e-Book.

Unfortunately, some of the math / symbol fonts used in this merger of rather old PDF files cannot be embedded. However, once downloaded to your computer, fonts installed on you system will be substituted for these missing fonts. Try it, and See!

Two chapters listed in the Table-of-Contents are completely missing: Chapter 07: Random Coefficient Formulations and Chapter 11: TRACE Displays - The Psychology of Perception. Introductory material on interpretation of ridge TRACE displays is provided by the Shrinkage Equations and MCAL link under Main Menu item Shrinkage.

Maximum Likelihood Shrinkage in Regression


The above link displays my 26 page manuscript, MLSIR.PDF.  Here, I derive a closed-form expression for the shrinkage estimator within the 2-parameter Goldstein-Smith generalized ridge family that is most likely (under normal-distribution-theory) to attain minimum MSE risk. Some simulated risk profiles for uniform shrinkage are also displayed and discussed.

Influential Observations in Ridge Regression


The above link is for my 31 page manuscript, INFLUIRR.PDF  This is an introduction to linked "Visual Re-Regression" and "Leverage-Outlier" plots, including a Cook-like "overall influence" hyperbola.