lm.ridge: Ridge Regression

In MASS: Support Functions and Datasets for Venables and Ripley's MASS

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 response ~ predictors. See the documentation of formula for other details. offset terms are allowed.
data	an optional data frame, list or environment in which to interpret the variables occurring in formula.
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 contrasts.arg of model.matrix.default.
...	additional arguments to lm.fit.
obj	an R object, such as an "lm.ridge" fit.

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 lambda. Note that these are not on the original scale and are for use by the coef method.
scales	scalings used on the X matrix.
Inter	was intercept included?
lambda	vector of lambda values
ym	mean of y
xm	column means of x matrix
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

lm

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)))

MASS documentation built on June 22, 2024, 10:42 a.m.