R/myridge.R

In saberpowers/causalLearning: Methods for heterogeneous treatment effect estimation

myridge = function(x, y, int = T, eps = 0.001) {
  xx = x
  if (!is.matrix(xx)) 
    xx = matrix(xx, ncol = 1)
  lam = rep(eps, ncol(xx))
  
  if (int) {
    xx = cbind(1, xx)
    lam = c(0, lam)
  }
  d = diag(lam)
  if (ncol(xx) == 1) 
    d = lam
  coef = solve(t(xx) %*% xx + d) %*% t(xx) %*% y
  res = y - xx %*% coef
  list(res = res, coef = coef)
}