ridgelm,plot.rlm | R Documentation |

Similar to `lm.ridge`

in `MASS`

packaged included
with R, but with a different kind of scaling and a little nicer
plotting.

ridgelm(xy,lambda = seq(0.01,1,0.01),mapback=TRUE) ## S3 method for class 'rlm' plot(x,y,...)

`xy` |
Data, response variable in the last column. |

`lambda` |
Vector of desired values for the ridge parameter. |

`mapback` |
If TRUE, the scaling that had been applied to the original data will be map back to the original scale, so that the estimated regression coefficients are now on the scale of the original data. |

`x` |
Object of type 'rlm', output of |

`y` |
Needed for consistency with the generic. Not used. |

`...` |
Needed for consistency with the generic. Not used. |

Centers and scales the predictors X, and centers the response variable Y. Computes X'X and then solves [(X'X)/n + lambda I]b = X'Y/n for b. The 1/n factors are important, making the diagonal elements of (X'X)/n all 1s and thus facilitating choices for the lambdas in a manner independent of the data.

Calling `plot`

on the output of `ridgelm`

dispatches to
`plot.rlm`

, thus diplaying the ridge traces.

The function `ridgelm`

returns an object of class 'rlm', with
components `bhats`

, the estimated beta vectors, one column per
lambda value, and `lambda`

, a copy of the input.

Norm Matloff

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