Displaying 1 result from an estimated 1 matches for "329796".
Did you mean:
529796
2011 Aug 06
0
ridge regression - covariance matrices of ridge coefficients
For an application of ridge regression, I need to get the covariance
matrices of the estimated regression
coefficients in addition to the coefficients for all values of the ridge
contstant, lambda.
I've studied the code in MASS:::lm.ridge, but don't see how to do this
because the code is vectorized using
one svd calculation. The relevant lines from lm.ridge, using X, Y are: