Timeline for Understanding negative ridge regression
Current License: CC BY-SA 3.0
10 events
| when toggle format | what | by | license | comment | |
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| Apr 14, 2020 at 1:22 | comment | added | develarist | what is the point of making ridge negative? if (positive) ridge defends against multicollinearity, does negative ridge induce negative correlations amongst the regressors? | |
| Apr 20, 2018 at 7:10 | history | edited | amoeba | CC BY-SA 3.0 |
added 94 characters in body; edited title
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| Apr 19, 2018 at 21:22 | answer | added | amoeba | timeline score: 19 | |
| Apr 15, 2018 at 18:54 | comment | added | kjetil b halvorsen♦ | Negative ridge mentioned here: stats.stackexchange.com/questions/328630/… with some links | |
| Apr 15, 2018 at 18:05 | comment | added | Carl | Note in this development of ridge regression from Tikhonov regularization that the Tikhonov regularization $\Gamma^{T} \Gamma$ becomes $\alpha^2 I$ for ridge regression. Subsequently, $\alpha^2$ is usually replaced by $\lambda$. The only way to make this negative is for $\alpha$ to be imaginary, i.e., a multiple of $i=\sqrt{-1}$. OK, Now what? Where do you want to go with it? | |
| Mar 1, 2018 at 19:27 | history | tweeted | twitter.com/StackStats/status/969293151126114304 | ||
| Mar 1, 2018 at 18:54 | comment | added | Benoit Sanchez | Thanks a lot. This gives a clear interpretation of ridge via CR when $\lambda<-\lambda_1$.(largest eigenvalue of the covariance matrix). Still looking for an interpretation with $\lambda>-\lambda_1$... | |
| Mar 1, 2018 at 17:21 | comment | added | Ryan Simmons | In case that link dies in the future, the full citation is: Björkström, A. & Sundberg, R. "A generalized view on continuum regression". Scandinavian Journal of Statistics, 26:1 (1999): pp.17-30 | |
| Mar 1, 2018 at 17:20 | comment | added | Ryan Simmons | I don't know of any introductory text that talks about it, but this source may be enlightening, especially the discussion at the bottom of page 18: jstor.org/stable/4616538?seq=1#page_scan_tab_contents | |
| Mar 1, 2018 at 16:47 | history | asked | Benoit Sanchez | CC BY-SA 3.0 |