| lm.ridge {MASS} | R Documentation |
Ridge Regression
Description
Fit a linear model by ridge regression.
Usage
lm.ridge(formula, data, subset, na.action, lambda = 0, model = FALSE,
x = FALSE, y = FALSE, contrasts = NULL, ...)
select(obj)
Arguments
formula |
a formula expression as for regression models, of the form
|
data |
an optional data frame, list or environment in which to interpret the
variables occurring in |
subset |
expression saying which subset of the rows of the data should be used in the fit. All observations are included by default. |
na.action |
a function to filter missing data. |
lambda |
A scalar or vector of ridge constants. |
model |
should the model frame be returned? Not implemented. |
x |
should the design matrix be returned? Not implemented. |
y |
should the response be returned? Not implemented. |
contrasts |
a list of contrasts to be used for some or all of factor terms in the
formula. See the |
... |
additional arguments to |
obj |
an R object, such as an |
Details
If an intercept is present in the model, its coefficient is not penalized. (If you want to penalize an intercept, put in your own constant term and remove the intercept.)
Value
A list with components
coef |
matrix of coefficients, one row for each value of |
scales |
scalings used on the X matrix. |
Inter |
was intercept included? |
lambda |
vector of lambda values |
ym |
mean of |
xm |
column means of |
GCV |
vector of GCV values |
kHKB |
HKB estimate of the ridge constant. |
kLW |
L-W estimate of the ridge constant. |
References
Brown, P. J. (1994) Measurement, Regression and Calibration Oxford.
See Also
Examples
longley # not the same as the S-PLUS dataset
names(longley)[1] <- "y"
lm.ridge(y ~ ., longley)
plot(lm.ridge(y ~ ., longley,
lambda = seq(0,0.1,0.001)))
select(lm.ridge(y ~ ., longley,
lambda = seq(0,0.1,0.0001)))