RXshrink (Q39503): Difference between revisions
From MaRDI portal
Changed an Item |
Swh import (talk | contribs) SWHID from Software Heritage |
||||||||||||||
(2 intermediate revisions by 2 users not shown) | |||||||||||||||
Property / source code repository | |||||||||||||||
Property / source code repository: https://github.com/cran/RXshrink / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / Software Heritage ID | |||||||||||||||
Property / Software Heritage ID: swh:1:snp:9c2353a759f7823aa580cf48203b1ad75f0a4dc9 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / Software Heritage ID: swh:1:snp:9c2353a759f7823aa580cf48203b1ad75f0a4dc9 / qualifier | |||||||||||||||
Property / Software Heritage ID: swh:1:snp:9c2353a759f7823aa580cf48203b1ad75f0a4dc9 / qualifier | |||||||||||||||
point in time: 23 August 2023
| |||||||||||||||
links / mardi / name | links / mardi / name | ||||||||||||||
Latest revision as of 22:03, 21 March 2024
Maximum Likelihood Shrinkage using Generalized Ridge or Least Angle Regression
Language | Label | Description | Also known as |
---|---|---|---|
English | RXshrink |
Maximum Likelihood Shrinkage using Generalized Ridge or Least Angle Regression |
Statements
7 August 2023
0 references
Functions are provided to calculate and display ridge TRACE Diagnostics for a 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 eff.ridge() function implements the "Efficient Shrinkage Path" introduced in Obenchain (2022) <Open Statistics>. This "p-Parameter" Shrinkage-Path always passes through the vector of regression coefficient estimates Most-Likely to achieve the overall Optimal Variance-Bias Trade-Off and is the shortest Path with this property. Functions eff.aug() and eff.biv() augment the calculations made by eff.ridge() to provide plots of the bivariate confidence ellipses corresponding to any of the p*(p-1) possible ordered pairs of shrunken regression coefficients. Functions for plotting TRACE Diagnostics now have more options.
0 references