Realization of Ridge Regression in MATLAB
Ставри Димитров, S. Kovacheva, Krassimira Prodanova, Michail D. Todorov · AIP conference proceedings · 2008
The least square estimator (LSE) of the coefficients in the classical linear regression models is unbiased. In the case of multicollinearity of the vectors of design matrix, LSE has very big variance, i.e., the estimator is unstable. A more stable estimator (but biased) can be constructed using ridge‐estimator (RE). In this paper the basic methods of obtaining of Ridge‐estimators and numerical procedures of its realization in MATLAB are considered. An application to Pharmacokinetics problem is considered.