longley2

Data from the "Employment and Training Report of the President, 1976"
 compiled by Art Hoerl, University of Delaware. This data.frame contains both [1] some
 different ("corrected") numerical values from those used by Longley(1967) and [2] the added
 years of 1963-1975. Longley(1967) used only data from the 16 years of 1947 through 1962.

datasets

Functions are provided to calculate and display ridge TRACE Diagnostics for a
variety of alternative Shrinkage Paths. While all methods focus on Maximum Likelihood
estimation of unknown true effects under normal distribution-theory, some estimates are
modified to be Unbiased or to have "Correct Range" when estimating either [1] the noncentrality
of the F-ratio for testing that true Beta coefficients are Zeros or [2] the "relative" MSE
Risk (i.e. MSE divided by true sigma-square, where the "relative" variance of OLS is known.)
The eff.ridge() function implements the "Efficient Shrinkage Path" introduced in Obenchain
(2022) <Open Statistics>. This "p-Parameter" Shrinkage-Path always passes through the
vector of regression coefficient estimates Most-Likely to achieve the overall Optimal
Variance-Bias Trade-Off and is the shortest Path with this property. Functions eff.aug() and
eff.biv() augment the calculations made by eff.ridge() to provide plots of the bivariate
confidence ellipses corresponding to any of the p*(p-1) possible ordered pairs of shrunken
regression coefficients. Functions for plotting TRACE Diagnostics now have more options.

Bob Obenchain

RXshrink

Maximum Likelihood Shrinkage using Generalized Ridge or Least
Angle Regression

longley2 function

A data.frame of 7 variables covering 29 consecutive years; no NAs.<dl>
 <dt>GNP.deflator</dt>
<dd>GNP price deflation index.</dd> <dt>Unemployed</dt>
<dd>Unemployment percentage.</dd> <dt>Armed.Forces</dt>
<dd>Size of the Armed Forces.</dd> <dt>Population</dt>
<dd>Total U.S. Population.</dd> <dt>Year</dt>
<dd>1947 to 1975.</dd> <dt>Employed</dt>
<dd>employment.</dd> <dt>GNP</dt>
<dd>Gross National Product.</dd> 
</dl>

Format

Art Hoerl's update of the infamous Longley(1967) benchmark dataset — longley2

A data.frame of 7 variables covering 29 consecutive years; no NAs.<dl>
 <dt>GNP.deflator</dt>
<dd>GNP price deflation index.</dd>

 <dt>Unemployed</dt>
<dd>Unemployment percentage.</dd>

 <dt>Armed.Forces</dt>
<dd>Size of the Armed Forces.</dd>

 <dt>Population</dt>
<dd>Total U.S. Population.</dd>

 <dt>Year</dt>
<dd>1947 to 1975.</dd>

 <dt>Employed</dt>
<dd>employment.</dd>

 <dt>GNP</dt>
<dd>Gross National Product.</dd>

 
</dl>

longley2: Art Hoerl's update of the infamous Longley(1967) benchmark dataset

Description

Usage

Arguments

Format

References