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A new algorithm for variable selection
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
2006 (English)In: PROCEEDINGS OF THE 45TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-14, 2006, 1309-1314 p.Conference paper, Published paper (Refereed)
Abstract [en]

A new method for variable selection and estimation called Iteratively Scaled Ridge Regression, ISRR, is proposed. The method is an iterative algorithm based on ridge regression. Simulation studies show that ISRR shares the properties of both subset selection and ridge regression. It selects an optimal subset of the regressor variables and is robust to small changes in the data set. The ISRR algorithm was primarily developed for linear models, but is quite simple and general and can easily be extended to more general linear and nonlinear models.

Place, publisher, year, edition, pages
2006. 1309-1314 p.
Series
IEEE Conference on Decision and Control, ISSN 0191-2216
National Category
Other Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-42226DOI: 10.1109/CDC.2006.376828ISI: 000252251603124Scopus ID: 2-s2.0-39649099323ISBN: 978-1-4244-0170-3 (print)OAI: oai:DiVA.org:kth-42226DiVA: diva2:446507
Conference
45th IEEE Conference on Decision and Control Location: San Diego, CA Date: DEC 13-15, 2006
Note
QC 20111007Available from: 2011-10-07 Created: 2011-10-06 Last updated: 2011-10-07Bibliographically approved

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