A Critique of Some Ridge Regression Methods
对若干岭回归方法的批评
Ridge estimates seem motivated by a belief that least squares estimates tend to be too large, particularly when there is multicollinearity. The ridge solution is to supplement the data by stochastically shrinking the estimates toward zero. Although flexibility is provided by the abstention from exact exclusion restrictions, ridge regression retains many weaknesses of similarly motivated procedures : a neglect of the basic fact that linear transformations should not change…