Displaying 1 result from an estimated 1 matches for "whichisbest".
2013 Apr 27
1
Selecting ridge regression coefficients for minimum GCV
Hi all,
I have run a ridge regression as follows:
reg=lm.ridge(final$l~final$lag1+final$lag2+final$g+final$u,
lambda=seq(0,10,0.01))
Then I enter :
select(reg) and it returns: modified HKB estimator is 19.3409
modified L-W estimator is 36.18617
smallest value of GCV at 10
I think it means that it is advisable to