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2009 Jun 04
0
help needed with ridge regression and choice of lambda with lm.ridge!!!
...tors I get: > fmr<-lm.ridge(y~0+ .+., data=x, lambda = seq(0,10,0.01)) >select(fmr) modified HKB estimator is -1.850770e-28 modified L-W estimator is -2.012264e-28 smallest value of GCV at 0.01 and similar values if I reduce the number of predictor in the dataset, all numbars between 17and 34. but if I build a dataset with only 16 predictors (euqal to the number of rows) I get: > select(fmr) modified HKB estimator is 0.1511719 modified L-W estimator is 3.322775 smallest value of GCV at 0.51 And at the same way, other accettable values for any smaller dataset... Please, could...