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Ridge least weighted squares. (English) Zbl 1356.62092

Summary: Multicollinearity and outlier presence are classical problems of data within the linear regression framework. We are going to present a proposal of a new method which can be a potential candidate for robust ridge regression as well as a robust detector of multicollinearity. This proposal arises as a logical combination of principles used in the ridge.

MSC:

62J07 Ridge regression; shrinkage estimators (Lasso)
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