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g.ridge: Generalized Ridge Regression for Linear Models
Ridge regression due to Hoerl and Kennard (1970)<DOI:10.1080/00401706.1970.10488634> and generalized ridge regression due to Yang and Emura (2017)<DOI:10.1080/03610918.2016.1193195> with optimized tuning parameters. These ridge regression estimators (the HK estimator and the YE estimator) are computed by minimizing the cross-validated mean squared errors. Both the ridge and generalized ridge estimators are applicable for high-dimensional regressors (p>n), where p is the number of regressors, and n is the sample size.
Getting started
Browse package contents
Package details |
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| Author | Takeshi Emura [aut, cre], Szu-Peng Yang [ctb] |
| Maintainer | Takeshi Emura <takeshiemura@gmail.com> |
| License | GPL-2 |
| Version | 1.0 |
| Package repository | View on CRAN |
| Installation |
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