shrink: Global, Parameterwise and Joint Shrinkage Factor Estimation

The predictive value of a statistical model can often be improved by applying shrinkage methods. This can be achieved, e.g., by regularized regression or empirical Bayes approaches. Various types of shrinkage factors can also be estimated after a maximum likelihood. While global shrinkage modifies all regression coefficients by the same factor, parameterwise shrinkage factors differ between regression coefficients. With variables which are either highly correlated or associated with regard to contents, such as several columns of a design matrix describing a nonlinear effect, parameterwise shrinkage factors are not interpretable and a compromise between global and parameterwise shrinkage, termed 'joint shrinkage', is a useful extension. A computational shortcut to resampling-based shrinkage factor estimation based on DFBETA residuals can be applied. Global, parameterwise and joint shrinkage for models fitted by lm(), glm(), coxph(), or mfp() is available.

Author
Daniela Dunkler [aut, cre], Georg Heinze [aut]
Date of publication
2016-03-09 15:21:00
Maintainer
Daniela Dunkler <daniela.dunkler@meduniwien.ac.at>
License
GPL-2
Version
1.2.1

View on CRAN

Man pages

coef.shrink
Returns Shrunken Regression Coefficients from Objects of...
deepvein
Deep Vein Thrombosis Study
GBSG
German Breast Cancer Study Group
isrcs
Test if 'rcs' from the 'rms' Package was Used in the Fit.
predict.shrink
Predict Method for Objects of Class 'shrink'
print.shrink
Print Method for Objects of Class 'shrink'
shrink
Global, Parameterwise and Joint Shrinkage of Regression...
shrink.coxph
Global, Parameterwise and Joint Shrinkage of Regression...
shrink.glm
Global, Parameterwise and Joint Shrinkage of Regression...
shrink.lm
Global, Parameterwise and Joint Shrinkage of Regression...
shrink-package
Global, Parameterwise and Joint Shrinkage Factor Estimation
summary.shrink
Summary Method for Objects of Class 'shrink'
vcov.shrink
Calculate Variance-Covariance Matrix of Shrinkage Factors for...

Files in this package

shrink
shrink/inst
shrink/inst/CITATION
shrink/inst/NEWS.Rd
shrink/inst/doc
shrink/inst/doc/JSSexample.Rmd
shrink/inst/doc/JSSexample.html
shrink/inst/doc/JSSexample.R
shrink/NAMESPACE
shrink/data
shrink/data/GBSG.rda
shrink/data/deepvein.rda
shrink/R
shrink/R/shrink.glm.R
shrink/R/deepvein.R
shrink/R/coef.shrink.R
shrink/R/GBSG.R
shrink/R/shrink.lm.R
shrink/R/shrink.coxph.R
shrink/R/utility.R
shrink/R/print.shrink.R
shrink/R/summary.shrink.R
shrink/R/predict.shrink.R
shrink/R/shrink.R
shrink/R/vcov.shrink.R
shrink/R/zzz.R
shrink/vignettes
shrink/vignettes/JSSexample.Rmd
shrink/MD5
shrink/build
shrink/build/vignette.rds
shrink/DESCRIPTION
shrink/man
shrink/man/vcov.shrink.Rd
shrink/man/deepvein.Rd
shrink/man/print.shrink.Rd
shrink/man/shrink.Rd
shrink/man/coef.shrink.Rd
shrink/man/shrink.coxph.Rd
shrink/man/shrink-package.Rd
shrink/man/shrink.lm.Rd
shrink/man/shrink.glm.Rd
shrink/man/summary.shrink.Rd
shrink/man/GBSG.Rd
shrink/man/predict.shrink.Rd
shrink/man/isrcs.Rd