RXshrink

R package 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.


References in zbMATH (referenced in 2 articles , 1 standard article )

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  1. Bob Obenchain: Ridge TRACE Diagnostics (2020) arXiv
  2. Imdad Ullah Muhammad, Aslam Muhammad: lmridge: A Comprehensive R Package for Ridge Regression (2018) not zbMATH