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]>
URL https://www.R-project.org http://localcontrolstatistics.org
Package repositoryView on CRAN
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RXshrink documentation built on Nov. 7, 2018, 1:04 a.m.