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RXshrink
View on CRAN: Click
here
Download and install RXshrink package within the R console
Install from CRAN:
install.packages("RXshrink")
Install from Github:
library("remotes")
install_github("cran/RXshrink")
Install by package version:
library("remotes")
install_version("RXshrink", "2.3")
Attach the package and use:
library("RXshrink")
Maintained by
Bob Obenchain
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2005-10-16
Latest Update: 2023-08-07
Description:
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) . 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.
How to cite:
Bob Obenchain (2005). RXshrink: Maximum Likelihood Shrinkage using Generalized Ridge or Least Angle Regression. R package version 2.3, https://cran.r-project.org/web/packages/RXshrink. Accessed 16 Apr. 2025.
Previous versions and publish date:
1.0-1 (2005-10-16 21:11), 1.0-2 (2005-10-20 10:51), 1.0-3 (2007-07-18 11:30), 1.0-4 (2009-02-15 10:26), 1.0-5 (2010-09-21 10:14), 1.0-6 (2010-10-01 10:23), 1.0-7 (2011-12-27 11:05), 1.0-8 (2014-01-14 07:14), 1.0-9 (2018-04-09 05:04), 1.1 (2018-11-07 01:00), 1.3.1 (2020-01-23 14:10), 1.3.2 (2020-03-16 22:20), 1.3.3 (2020-04-26 09:10), 1.3 (2019-12-09 17:50), 1.4.1 (2020-08-03 00:30), 1.4.2 (2020-09-01 17:20), 1.4.3 (2020-11-01 14:30), 1.4 (2020-06-26 21:40), 1.5 (2020-12-16 06:30), 1.6 (2021-01-11 00:30), 1.7 (2021-02-04 15:00), 2.0 (2021-04-02 08:50), 2.1 (2022-04-06 22:22), 2.2 (2022-09-07 21:30)
Other packages that cited RXshrink R package
View RXshrink citation profile
Other R packages that RXshrink depends,
imports, suggests or enhances
Complete documentation for RXshrink
Functions, R codes and Examples using
the RXshrink R package
Some associated functions: MLboot . MLcalc . MLhist . MLtrue . RXpredict . RXshrink-package . YonX . aug.lars . correct.signs . eff.aug . eff.biv . eff.ridge . haldport . internal . longley2 . meff . mpg . plot.RXpredict . plot.YonX . plot.aug.lars . plot.eff.biv . plot.eff.ridge . plot.qm.ridge . plot.uc.lars . qm.ridge . tycobb . uc.lars .
Some associated R codes: MLfuns.R . RXpredict.R . YonX.R . aug.lars.R . correct.signs.R . eff.aug.R . eff.ridge.R . internal.R . qm.ridge.R . uc.lars.R . Full RXshrink package functions and examples
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