Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter

Consider the ridge estimate (λ) for β in the model unknown, (λ) = (X T X + nλI)−1 X T y. We study the method of generalized cross-validation (GCV) for choosing a good value for λ from the data. The estimate is the minimizer of V(λ) given by where A(λ) = X(X T X + nλI)−1 X T . This estimate is a rota... View More