Maximum Likelihood Ridge Regression

07/25/2022

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by   Robert L. Obenchain, et al.

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My first paper exclusively about ridge regression was published in Technometrics and chosen for invited presentation at the 1975 Joint Statistical Meetings in Atlanta. Unfortunately, that paper contained a wide range of assorted details and results. Luckily, Gary McDonald's published discussion of that paper focused primarily on my use of Maximum Likelihood estimation under normal distribution-theory. In this review of some results from all four of my ridge publications between 1975 and 2022, I highlight the Maximum Likelihood findings that appear to be most important in practical application of shrinkage in regression.