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arXiv · 2002.11916

Tuning-free ridge estimators for high-dimensional generalized linear models

Shih-Ting Huang·Fang Xie·Johannes Lederer
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Abstract

Ridge estimators regularize the squared Euclidean lengths of parameters. Such estimators are mathematically and computationally attractive but involve tuning parameters that can be difficult to calibrate. In this paper, we show that ridge estimators can be modified such that tuning parameters can be avoided altogether. We also show that these modified versions can improve on the empirical prediction accuracies of standard ridge estimators combined with cross-validation, and we provide first theoretical guarantees.

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Shih-Ting Huang, Fang Xie, Johannes Lederer. 2020-02-27. Tuning-free ridge estimators for high-dimensional generalized linear models. https://arxiv.org/abs/2002.11916

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