gen.ridge {mda} | R Documentation |
gen.ridge(x, y, weights, lambda=1, omega, df, ...)
x |
|
y |
|
weights |
the x and y matrix and possibly a weight vector |
lambda |
the shrinkage penalty coefficient |
omega |
a penalty object; omega is the eigendecomposition of the penalty matrix, and need not have full rank. By default, standard ridge is used. |
df |
an alternative way to prescribe lambda, using the notion of equivalent degrees of freedom |
A generalized ridge regression, where the coefficients are penalized according to omega. See the function definition for further details. No functions are provided for producing one dimensional penalty objects (omega).