Relations between ridge regression and eigenanalysis of the augmented correlation matrix

Douglas M. Hawkins

Research output: Contribution to journalArticlepeer-review

12 Scopus citations

Abstract

It is known that if the augmented correlation matrix of the dependent and independent variables in a multiple regression is subjected to principal component analysis, the multiple regression function may be obtained as a weighted sum of the eigenvectors. It is shown that the ridge regression is also a weighted sum of the eigenvectors, and an extension to ridge regression is discrlssed.

Original languageEnglish (US)
Pages (from-to)477-480
Number of pages4
JournalTechnometrics
Volume17
Issue number4
DOIs
StatePublished - Nov 1975

Keywords

  • Eigenanalysis
  • Multiple regression
  • Principal component analysis
  • Ridge regression

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