RXshrink v1.4.3

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Maximum Likelihood Shrinkage using Generalized Ridge or Least Angle Regression Methods

Functions are provided to calculate and display ridge TRACE diagnostics for a variety of shrinkage Paths. TRACEs identify the m-Extent of shrinkage most likely, under Normal-theory, to produce optimally biased estimates of beta-coefficients with minimum MSE Risk. The unr.ridge() function implements the "Unrestricted Path" introduced in Obenchain (2020) <arXiv:2005.14291>. This Shrinkage-Path is more efficient than the Paths used by the qm.ridge(), aug.lars() and uc.lars() functions. Optimally biased predictions can be made using RXpredict() for all six types of RXshrink linear model estimation methods. Functions MLboot(), MLcalc(), MLhist() and MLtrue() provide insights into the true bias and MSE risk characteristics of non-linear Shrinkage estimators. Functions unr.aug() and unr.biv() augment the calculations made by unr.ridge() to provide plots of the bivariate confidence ellipses corresponding to any of the p*(p-1) possible pairs of shrunken regression coefficients. The correct.signs() function provides estimates with "correct" numerical signs when ill-conditioned (nearly multicollinear) models yield OLS estimates that disagree with the signs of the observed correlations between the y-outcome and the selected x-predictor variables.

Functions in RXshrink

Name Description
correct.signs Normal-Theory Maximum Likelihood Estimation of Beta Coefficients with "Correct" Signs
aug.lars Maximum Likelihood Estimation of Effects in Least Angle Regression
haldport Portland Cement benchmark of Hald(1952)
MLboot Calculate Bootstrap distribution of Unrestricted Maximum Likelihood (ML) point-estimates for a Linear Model.
RXshrink-internal Internal RXshrink functions
MLtrue Simulate data for Linear Models with known Parameter values and Normal Errors
RXshrink-package Maximum Likelihood (ML) Shrinkage using Generalized Ridge or Least Angle Regression Methods
kofm k-Multipliers and delta-Factors for unr.ridge() Shrinkage.
MLhist Plot method for MLboot objects
RXpredict Predictions from Models fit using RXshrink Generalized Ridge Estimation Methods.
longley2 Art Hoerl's update of the infamous Longley(1967) benchmark dataset
plot.unr.biv Plot method for unr.biv objects
mpg Hocking(1976) Miles Per Gallon benchmark dataset
mofk m-Extents of Shrinkage used in unr.ridge() Calculations.
unr.biv Specify pairs of GRR Coefficient Estimates for display in Bivariate Confidence Regions
unr.ridge Unrestricted Maximum Likelihood (ML) Shrinkage using a Piecewise Linear-Spline PATH
plot.aug.lars Plot method for aug.lars objects
plot.RXpredict Plot method for RXpredict objects
qm.ridge Restricted (2-parameter) Maximum Likelihood Shrinkage in Regression
tycobb Ty Cobb batting statistics for 1905--1928 with Carl Morris' 2-piece Spline term.
plot.unr.ridge Plot method for unr.ridge objects
plot.qm.ridge Plot method for qm.ridge objects
uc.lars Maximum Likelihood Least Angle Regression on Uncorrelated X-Components
MLcalc Calculate Unrestricted Maximum Likelihood (ML) point-estimates for a Linear Model that are either Unbiased (OLS) or Optimally Biased under Normal-distribution theory.
unr.aug Augment calculations performed by unr.ridge() to prepare for display of eliptical confidence regions for pairs of biased coefficient estimates using plot.unr.biv()
plot.uc.lars Plot method for uc.lars objects
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Date 2020-11-01
License GPL-2
URL https://www.R-project.org , http://localcontrolstatistics.org
NeedsCompilation no
Packaged 2020-10-30 01:06:18 UTC; bobo
Repository CRAN
Date/Publication 2020-11-01 13:30:02 UTC

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