RXshrink-package {RXshrink}R Documentation

Maximum Likelihood Shrinkage via Generalized Ridge or Least Angle Regression

Description

The functions in this package augment the basic calculations of Generalized Ridge and Least Angle Regression with important visualization tools. Specifically, they display TRACEs of normal-distribution-theory Maximum Likelihood estimates of the key quantities that completely characterize the effects of shrinkage on the MSE Risk of fitted coefficients.

Details

Package: RXshrink
Type: Package
Version: 1.0-4
Date: 2009-02-10
License: GNU GENERAL PUBLIC LICENSE, Version 2, June 1991

RXridge() calculates and displays TRACEs for the Q-shaped shrinkage path, including the M-extent of shrinkage along that path, that are most likely under normal distribution theory to yield optimal reducions in MSE Risk.

When regression parameters have specified, KNOWN numerical values, RXtrisk() calculates and displays the corresponding True MSE Risk profiles and RXtsimu() first simulates Y-outcome data then calculates true Squared Error Losss associated with Q-shape shrinkage.

RXlarlso() calls the Efron/Hastie lars() R-function to perform Least Angle Regression then augments these calculations with Maximum Likelihood TRACE displays like those of RXridge().

RXuclars() applies Least Angle Regression to the uncorrelated components of a possibly ill-conditioned set of X-variables using a closed-form expression for the lars/lasso shrinkage delta factors that exits in this special case.

Author(s)

Bob Obenchain <wizbob@att.net>

References

Efron B, Hastie T, Johnstone I, Tibshirani R. (2004) Least angle regression. Ann. Statis. 32, 407-499.

Goldstein M, Smith AFM. (1974) Ridge-type estimators for regression analysis. J. Roy. Stat. Soc. B 36, 284-291. (2-parameter shrinkage family.)

Obenchain RL. (2005) Shrinkage Regression: ridge, BLUP, Bayes, spline and Stein. Electronic book-in-progress (200+ pages.) http://members.iquest.net/~softrx/.

Obenchain RL. (2009) RXshrink-R.PDF ../R_HOME/library/RXshrink

Examples

  demo(longley2)

[Package RXshrink version 1.0-4 Index]