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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) <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.
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
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
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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