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 language | English (US) |
|---|---|
| Pages (from-to) | 477-480 |
| Number of pages | 4 |
| Journal | Technometrics |
| Volume | 17 |
| Issue number | 4 |
| DOIs | |
| State | Published - Nov 1975 |
Keywords
- Eigenanalysis
- Multiple regression
- Principal component analysis
- Ridge regression