plot.uc.lars

Plot TRACE displays of lars regression coefficients for the uncorrelated components
 of the X-matrix. The default option of trace = "all" displays all Five TRACEs on one
 page.

trace

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

plot.uc.lars function

<dl> <dt>x</dt>
<dd>Output list object of class uc.lars.</dd> <dt>trace</dt>
<dd>One of seven possible options: "all" to display 5 traces in one graph,
 "seq" to display 5 full-sized traces in sequence in response to user prompts,
 "coef" to display only the estimated shrunken beta coefficient trace,
 "rmse" to display only the estimated relative MSE risk trace,
 "exev" to display only the estimated excess MSE eigenvalue (OLS minus ridge) trace,
 "infd" to display only the estimated inferior direction cosine trace, or
 "spat" to display only the shrinkage (delta) factor pattern trace.</dd> <dt>trkey</dt>
<dd>If TRUE, display a crude legend at the bottom-right of each trace plot.</dd> <dt>...</dt>
<dd>Optional argument(s) passed on to plot().</dd></dl>

Arguments

Bob Obenchain &lt;wizbob@att.net&gt;

Author

Plot method for uc.lars objects — plot.uc.lars

<dl>

 <dt>x</dt>
<dd>Output list object of class uc.lars.</dd>

 <dt>trace</dt>
<dd>One of seven possible options: "all" to display 5 traces in one graph,
 "seq" to display 5 full-sized traces in sequence in response to user prompts,
 "coef" to display only the estimated shrunken beta coefficient trace,
 "rmse" to display only the estimated relative MSE risk trace,
 "exev" to display only the estimated excess MSE eigenvalue (OLS minus ridge) trace,
 "infd" to display only the estimated inferior direction cosine trace, or
 "spat" to display only the shrinkage (delta) factor pattern trace.</dd>

 <dt>trkey</dt>
<dd>If TRUE, display a crude legend at the bottom-right of each trace plot.</dd>

 <dt>...</dt>
<dd>Optional argument(s) passed on to plot().</dd>

</dl>

plot.uc.lars: Plot method for uc.lars objects

Description

Usage

Value

Arguments

Author

Examples