search for: betaridge

Displaying 1 result from an estimated 1 matches for "betaridge".

2005 Feb 16
2
R: ridge regression
...e betas is = inverse(Z'Z+kI)*Z'Y_new=W*Z'Y_new the associated variance covariance matrix sigma*W*(Z'Z)*W where sigma is the residual variance based on the transformed variables if we transform the variables back to the original variables the beta estimates are now: beta(j)= std(y)*betaridge(j)/std(x(j)) but what is the covariance matrix of these estimates??? i know that this might not be the correct forum for this question, but since i know that many users are statisticians i know that i will get an informed response.