ridgereg: Fitting a ridge regression

In Sidryd/lab4sidjac: Linear regression

Description

ridgereg is used to fit models ridge regression..

Usage

ridgereg(formula, data, lambda, QR = FALSE)

Arguments

formula	an object of class formula.
data	a data frame containing all the variables in the regression model stated in the argument formula.
lambda	a scalar or vector of ridge constants.
QR	a boolean if TRUE use QR decomposition, default = FALSE

Value

ridgereg return a named list of class "ridgereg".

• call_arg return the arguments used to perform the ridge regression

• y a vector with the response variable data used

• X the dependent variables expressed with model.matrix

• beta_hat a one column matrix with the coefficients

• sigma_2_hat the residual variance in a 1x1 matrix

• y_hat a one column matrix with the fitted values

• e_hat a one column matrix with the residuals

• var_beta_hat the covariance matrix for the coefficients

• t_beta a matrix with t-values for each coefficient

• p_value a matrix with p-values for each coefficient

• data return the data.frame stated in the argument data

• formula return the formula given to the function

References

https://en.wikipedia.org/wiki/Tikhonov_regularization

Examples

ridgereg(formula = Petal.Length~Species, data = iris, lambda =0, QR = FALSE)

Sidryd/lab4sidjac documentation built on Oct. 17, 2020, 11:05 p.m.