RXshrink

Maximum Likelihood Shrinkage via Generalized Ridge or Least Angle Regression

Identify and display TRACEs for a specified shrinkage path and determine the extent of shrinkage most likely, under normal distribution theory, to produce an optimal reduction in MSE Risk in estimates of regression (beta) coefficients. Alternative estimates are also provided when ill-conditioned (nearly multicollinear) models yield OLS estimates with "wrong" numerical signs.

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Description file content

Package
RXshrink
Title
Maximum Likelihood Shrinkage via Generalized Ridge or Least Angle Regression
Version
1.1
Date
2018-11-06
Author
Bob Obenchain
Maintainer
Bob Obenchain
Depends
lars
Description
Identify and display TRACEs for a specified shrinkage path and determine the extent of shrinkage most likely, under normal distribution theory, to produce an optimal reduction in MSE Risk in estimates of regression (beta) coefficients. Alternative estimates are also provided when ill-conditioned (nearly multicollinear) models yield OLS estimates with "wrong" numerical signs.
License
GPL
URL
NeedsCompilation
no
Packaged
2018-11-06 19:29:40 UTC; wiz
Repository
CRAN
Date/Publication
2018-11-07 00:00:10 UTC

install.packages('RXshrink')

1.1

2 months ago

https://www.R-project.org

Bob Obenchain

GPL

Depends on

lars

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