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.

Version: 1.1
Depends: lars
Published: 2018-11-07
Author: Bob Obenchain
Maintainer: Bob Obenchain <wizbob at att.net>
License: GPL-2 | GPL-3 [expanded from: GPL]
URL: https://www.R-project.org , http://localcontrolstatistics.org
NeedsCompilation: no
In views: MachineLearning
CRAN checks: RXshrink results

Downloads:

Reference manual: RXshrink.pdf
Package source: RXshrink_1.1.tar.gz
Windows binaries: r-devel: RXshrink_1.1.zip, r-devel-gcc8: RXshrink_1.1.zip, r-release: RXshrink_1.1.zip, r-oldrel: RXshrink_1.1.zip
OS X binaries: r-release: RXshrink_1.1.tgz, r-oldrel: RXshrink_1.1.tgz
Old sources: RXshrink archive

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