RXshrink: Maximum Likelihood Shrinkage using Generalized Ridge or Least Angle Regression Methods

Functions are provided to calculate and display ridge TRACEs for various shrinkage PATHS. They determine the m-Extent of shrinkage most likely, under Normal-distribution theory, to produce biased estimates of regression (beta) coefficients with minimum MSE Risk. An alternative function, correct.signs(), provides beta coefficient estimates when an ill-conditioned (nearly multicollinear) model yields OLS estimates with ("wrong") numerical signs that disagree with the signs of the observed correlations between the Y-outcome and the selected X-predictor variables. In-Sample predictions can be made for all five-types of RXshrink linear regression model estimation.

Package details

AuthorBob Obenchain
MaintainerBob Obenchain <wizbob@att.net>
URL https://www.R-project.org http://localcontrolstatistics.org
Package repositoryView on CRAN
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RXshrink documentation built on April 26, 2020, 9:06 a.m.