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regress
2009 Aug 19
1
Ridge regression [Repost]
Dear all,
For an ordinary ridge regression problem, I followed three different
approaches:
1. estimate beta without any standardization
2. estimate standardized beta (standardizing X and y) and then again convert
back
3. estimate beta using lm.ridge() function
X<-matrix(c(1,2,9,3,2,4,7,2,3,5,9,1),4,3)
y<-as.matrix(c(2,3,4,5))
n<-nrow(X)
p<-ncol(X)
#Without standardization