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Practical Use of Ridge Regression: A Challenge Met

Arthur E. Hoerl, Robert W. Kennard and Roger W. Hoerl
Journal of the Royal Statistical Society. Series C (Applied Statistics)
Vol. 34, No. 2 (1985), pp. 114-120
Published by: Wiley for the Royal Statistical Society
DOI: 10.2307/2347363
Stable URL: http://www.jstor.org/stable/2347363
Page Count: 7
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Practical Use of Ridge Regression: A Challenge Met
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Abstract

Fearn (1983) presented regression data and an assessment of the data and regression analysis techniques which we assert to be incorrect. First, the conclusion that the relevant information is associated with the small eigenvalues of the explanatory variables correlation matrix is disputed. Secondly, there was a failure to rectify the effect of the artificial correlations introduced by the reflectance spectroscopy. The removal of these correlations makes it possible to obtain a near-orthogonal system with better predicting power, using ridge regression.

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