Regression modelRegression / GLM

Robust Ridge Regression

Robust Ridge regression combines M-estimation with L2 (ridge) regularization to produce coefficient estimates that are simultaneously resistant to outliers and stable under multicollinearity. It minimizes a robust loss function (such as Huber's) penalized by the squared norm of the coefficient vector, downweighting influential observations while shrinking correlated predictors toward zero.

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Sources

  1. Silvapulle, M. J. (1991). Robust ridge regression based on an M-estimator. Australian Journal of Statistics, 33(3), 319–333. link
  2. Ridge regression. Wikipedia. link

Related methods

ScholarGateRobust Ridge regression (Robust Ridge Regression). Retrieved 2026-06-04 from https://scholargate.app/en/statistics/robust-ridge-regression