gen.ridge {mda}R Documentation

Perform a penalized regression, as used by pda()

Usage

gen.ridge(x, y, weights, lambda=1, omega, df, ...)

Arguments

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

Value

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).

See Also


[Package Contents]