Ridge Regression Confidence Machine

The Ridge Regression Confidence Machine is the conformalization of ridge regression introduced by Nouretdinov et al. (2001) and discussed at length in Vovk et al. (2005), Section 2.3.

References

• Ilia Nouretdinov, Thomas Melluish, and Vladimir Vovk (2001). Ridge Regression Confidence Machine. In: Proceedings of the Eighteenth International Conference on Machine Learning (ed. by C. E. Brodley and A. P. Danyluk), pp. 385 - 392. San Francisco, CA: Morgan Kaufmann.
• Vladimir Vovk, Alexander Gammerman, and Glenn Shafer (2005). Algorithmic learning in a random world. Springer, New York.