Functions are provided to calculate and display ridge TRACE diagnostics for a wide variety of alternative shrinkage Paths. While all methods focus on Maximum Likelihood estimation of unknown true effects under Normal-distribution theory, some estimates are modified to be Unbiased or to have "Correct Range" when estimating either [1] the noncentrality of the F-ratio for testing that true Beta coefficients are Zeros or [2] the "relative" MSE Risk (i.e. MSE divided by true sigma-square, where the "relative" variance of OLS is known.) The unr.ridge() function implements the "Unrestricted Path" introduced in Obenchain (2020) <arXiv:2005.14291>. This "new" p-parameter Shrinkage-Path is more efficient than the Paths used by qm.ridge(), aug.lars() and uc.lars(). Functions unr.aug() and unr.biv() augment the calculations made by unr.ridge() to provide plots of the bivariate confidence ellipses corresponding to any of the p*(p-1) possible pairs of shrunken regression coefficients.

Version: | 1.6 |

Depends: | R (≥ 3.5.0), lars, ellipse |

Published: | 2021-01-10 |

Author: | Bob Obenchain |

Maintainer: | Bob Obenchain <wizbob at att.net> |

License: | GPL-2 |

URL: | https://www.R-project.org , http://localcontrolstatistics.org |

NeedsCompilation: | no |

In views: | MachineLearning |

CRAN checks: | RXshrink results |

Reference manual: | RXshrink.pdf |

Package source: | RXshrink_1.6.tar.gz |

Windows binaries: | r-devel: RXshrink_1.6.zip, r-release: RXshrink_1.6.zip, r-oldrel: RXshrink_1.6.zip |

macOS binaries: | r-release: RXshrink_1.6.tgz, r-oldrel: RXshrink_1.6.tgz |

Old sources: | RXshrink archive |

Please use the canonical form
`https://CRAN.R-project.org/package=RXshrink`
to link to this page.