The Efficient Shrinkage Path: Maximum Likelihood of Minimum MSE Risk

9 Mar 2021  ·  Robert L. Obenchain ·

A new generalized ridge regression shrinkage path is proposed that is as short as possible under the restriction that it must pass through the vector of regression coefficient estimators that make the overall Optimal Variance-Bias Trade-Off under Normal distribution-theory. Five distinct types of ridge TRACE displays plus other graphics for this efficient path are motivated and illustrated here... These visualizations provide invaluable data-analytic insights and improved self-confidence to researchers and data scientists fitting linear models to ill-conditioned (confounded) data. read more

PDF Abstract
No code implementations yet. Submit your code now



  Add Datasets introduced or used in this paper

Results from the Paper

  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.


No methods listed for this paper. Add relevant methods here