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bridge
2011 Aug 06
0
ridge regression - covariance matrices of ridge coefficients
...bda, coef=coef, cov=cov, mse=mse,
scales=Xscale)
class(result) <- "ridge"
result
}
# Test:
> lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08)
> lambdaf <- c("", ".005", ".01", ".02", ".04", ".08")
> lridge <- ridge(longley.y, longley.X, lambda=lambda)
> lridge$coef
GNP Unemployed Armed.Forces Population Year GNP.deflator
0.000 -3.4471925 -1.827886 -0.6962102 -0.34419721 8.431972 0.15737965
0.005 -1.0424783 -1.491395 -0.6234680 -0.93558040 6.566532 -0.04175039
0.010...