vcov.lmridge | R Documentation |
The vcov
function computes the variance-covariance matrix for the estimates of linear ridge regression model.
## S3 method for class 'lmridge' vcov(object, ...)
object |
For |
... |
Not presently used in this implementation. |
The vcov
function computes variance-covariance matrix for scalar or vector value of biasing parameter K provided as argument to lmridge
function.
A list of matrix of estimated covariances in the linear ridge regression model for scalar or vector biasing parameter K
K is produced. Each list element has row and column names corresponding to the parameter names given by the coef(mod)
. List items are named correspond to values of biasing parameter K.
Covariance will be without intercept term, as intercept term is not penalized in ridge regression.
Muhammad Imdad Ullah, Muhammad Aslam
Brown, G.W. and Beattie, B.R. (1975). Improving Estimates of Economic Parameters by use of Ridge Regression with Production Function Applications. American Journal of Agricultural Economics, 57(1), 21-32. doi: 10.2307/1238836.
The ridge model fitting lmridge
, ridge VIF values vif
data(Hald) mod<- lmridge(y~., data=as.data.frame(Hald), scaling="sc", K=seq(0,1,.2) ) vcov.lmridge(mod) vcov(mod)
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