Anomalies in the Foundations of Ridge Regression

@inproceedings{Ramirez2007AnomaliesIT,
  title={Anomalies in the Foundations of Ridge Regression},
  author={Donald E. Ramirez},
  year={2007}
}
Anomalies persist in the foundations of ridge regression as set forth in Hoerl and Kennard (1970) and subsequently. Conventional ridge estimators and their properties do not follow on constraining lengths of solution vectors using LaGrange’s method, as claimed. Estimators so constrained have singular distributions; the proposed solutions are not necessarily minimizing; and heretofore undiscovered bounds are exhibited for the ridge parameter. None of the considerable literature on estimation… CONTINUE READING

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