RXshrink: Maximum Likelihood Shrinkage via Generalized Ridge or Least Angle Regression

Identify and display TRACEs for a specified shrinkage path and determine the extent of shrinkage most likely, under normal distribution theory, to produce an optimal reduction in MSE Risk in estimates of regression (beta) coefficients. Alternative estimates are also provided when ill-conditioned (nearly multicollinear) models yield OLS estimates with "wrong" numerical signs.

Package details

AuthorBob Obenchain
MaintainerBob Obenchain <[email protected]>
LicenseGPL
Version1.1
URL https://www.R-project.org http://localcontrolstatistics.org
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("RXshrink")

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RXshrink documentation built on Nov. 7, 2018, 1:04 a.m.