Variance of Ridge Regression Estimators
You can also do ridge regression (penalized least squares) using the ols function in the Design library. This function provides standard errors but there is not a rich theory that provides complete comfort on their accuracy. Frank Harrell On Tue, 6 Aug 2002 10:51:55 +0100
Huan Huang <huang at stats.ox.ac.uk> wrote:
Dear list, I have done the ridge regression. But it seems the function lm.ridge does not return the variance for the estimators. Does anyone know how I can work out the variance for the estimators (my matrix has factors)? Thanks a lot? Huan -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Frank E Harrell Jr Prof. of Biostatistics & Statistics Div. of Biostatistics & Epidem. Dept. of Health Evaluation Sciences U. Virginia School of Medicine http://hesweb1.med.virginia.edu/biostat -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._