Maximum Likelihood Ridge Regression (2207.11864v1)

Abstract: 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.