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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.
| Version: | 2.3 |
| Depends: | R (≥ 3.5.0) |
| Imports: | lars, ellipse |
| Suggests: | mgcv |
| Published: | 2023-08-07 |
| DOI: | 10.32614/CRAN.package.RXshrink |
| 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_2.3.tar.gz |
| Windows binaries: | r-devel: RXshrink_2.3.zip, r-release: RXshrink_2.3.zip, r-oldrel: RXshrink_2.3.zip |
| macOS binaries: | r-release (arm64): RXshrink_2.3.tgz, r-oldrel (arm64): RXshrink_2.3.tgz, r-release (x86_64): RXshrink_2.3.tgz, r-oldrel (x86_64): RXshrink_2.3.tgz |
| Old sources: | RXshrink archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.