Object of the penalty class to handle the ridge penalty (Hoerl & Kennard, 1970).
Usage
ridge(lambda = NULL, ...)
Arguments
lambda
regularization parameter. This must be a nonnegative real number.
...
further arguments.
Value
An object of the class penalty. This is a list with elements
penaltycharacter: the penalty name.
lambdadouble: the (nonnegative) regularization parameter.
getpenmatfunction: computes the diagonal penalty matrix.
Details
The `classic' penalty as introduced in Hoerl & Kennard (1970). The ridge penalty is defined as
$$P_\lambda^r (\boldsymbol{\beta}) = \lambda \sum_{i=1}^p \beta_j^2.$$
References
Hoerl, A. E. & R. W. Kennard (1970) Ridge Regression: Bias estimation for nonorthogonal problems. Technometrics12, 55--67.