ElemStatLearn (version 2015.6.26.2)

simple.ridge: 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

Value

List with components:

beta0

intercept

beta

matrix of coefficients. One column for each lambda

lambda

lambda used

df

df 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.

Examples

# NOT RUN {
# See examples for \link{prostate}.
# }