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RXshrink (version 1.1)

Maximum Likelihood Shrinkage via Generalized Ridge or Least Angle Regression

Description

Identify and display TRACEs for a specified shrinkage path and determine the extent of shrinkage most likely, under normal distribution theory, to produce an optimal reduction in MSE Risk in estimates of regression (beta) coefficients. Alternative estimates are also provided when ill-conditioned (nearly multicollinear) models yield OLS estimates with "wrong" numerical signs.

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Version

Install

install.packages('RXshrink')

Monthly Downloads

72

Version

1.1

License

GPL

Maintainer

Bob Obenchain

Last Published

November 7th, 2018

Functions in RXshrink (1.1)

RXtsimu

True Squared Error LOSS of Shrinkage for a Simulated Response Y-vector
RXlarlso

Maximum Likelihood Estimation of Effects in Least Angle Regression
plot.RXridge

Plot method for RXridge objects
plot.RXtrisk

Plot method for RXtrisk objects
RXshrink-internal

Internal RXshrink functions
longley2

Art Hoerl's update of the infamous Longley(1967) benchmark dataset
RXridge

Maximum Likelihood Shrinkage in Regression
RXtrisk

True MSE Risk of Shrinkage Resulting from Known Regression Parameters
plot.RXtsimu

Plot method for RXtsimu objects
plot.RXuclars

Plot method for RXuclars objects
RXuclars

Maximum Likelihood Least Angle Regression on Uncorrelated X-Components
RXshrink-package

Maximum Likelihood Shrinkage via Generalized Ridge or Least Angle Regression
haldport

Portland Cement benchmark of Hald(1952)
RXsigns

Normal-theory Maximum Likelihood Estimation of Beta Coefficients with "Correct" Signs
mpg

Hocking(1976) Miles Per Gallon benchmark dataset
plot.RXlarlso

Plot method for RXlarlso objects