[R] Variance of Ridge Regression Estimators

[Frank E Harrell Jr]

You can also do ridge regression (penalized least squares) using the ols function in the Design library.  This function provides standard errors but there is not a rich theory that provides complete comfort on their accuracy.

Frank Harrell

On Tue, 6 Aug 2002 10:51:55 +0100
Huan Huang <huang at stats.ox.ac.uk> wrote:

> Dear list,
> 
> I have done the ridge regression. But it seems the function lm.ridge does
> not return the variance for the estimators. Does anyone know how I can work
> out the variance for the estimators (my matrix has factors)? Thanks a lot?
> 
> Huan
> 
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-- 
Frank E Harrell Jr              Prof. of Biostatistics & Statistics
Div. of Biostatistics & Epidem. Dept. of Health Evaluation Sciences
U. Virginia School of Medicine  http://hesweb1.med.virginia.edu/biostat
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