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Original Articles

Relations Between Ridge Regression and Eigenanalysis of the Augmented Correlation Matrix

Pages 477-480 | Published online: 09 Apr 2012
 

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.

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