simple.ridge {ElemStatLearn}R Documentation

Simple Ridge Regression

Description

Function to do simple ridge regression.

Usage

   simple.ridge(x, y, lambda = 1, df, ...)

Arguments

x predictor matrix, NA's not allowed. Should not include a column of 1's.
y response matrix, NA's not allowed
lambda vector of ridge coefficients
df vector of target degrees of freedom. lambda is calculated from these.
... Presently not used

Details

Principal advantage with this compared to other implementations of ridge regression in R is that we can do the calculations for multiple degrees of freedom at once. Ridging is not applied to the intercept.

Value

List with components:

beta0 intercept
beta matrix of coefficients. One column for each lambda
lambda lambda used
df df used

Author(s)

Kjetil B. Halvorsen

Examples

# See examples for prostate.

[Package ElemStatLearn version 0.1-6 Index]