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xptr
2011 Aug 06
0
ridge regression - covariance matrices of ridge coefficients
...;- sum(lmfit$residuals^2) / (n-p)
# prepare output
coef <- matrix(0, length(lambda), p)
cov <- as.list(rep(0, length(lambda)))
mse <- rep(0, length(lambda))
# loop over lambdas
for(i in seq(length(lambda))) {
lam <- lambda[i]
XPXr <- XPX + lam * I
XPXI <- solve(XPXr)
coef[i,] <- XPXI %*% XPy
cov[[i]] <- MSE * XPXI %*% XPX %*% XPXI
res <- y - X %*% coef[i,]
mse[i] <- sum(res^2) / (n-p)
dimnames(cov[[i]]) <- list(colnames(X), colnames(X))
}
di...