Two plots from Ridge regression are generated: The MSE resulting from
Generalized Cross Validation (GCV) versus the Ridge parameter lambda,
and the regression coefficients versus lambda. The optimal choice for
lambda is indicated.
Usage
plotRidge(formula, data, lambda = seq(0.5, 50, by = 0.05), ...)
Value
predicted
predicted values for the optimal lambda
lambdaopt
optimal Ridge parameter lambda from GCV
Arguments
formula
formula, like y~X, i.e., dependent~response variables
data
data frame to be analyzed
lambda
possible values for the Ridge parameter to evaluate
...
additional plot arguments
Author
Peter Filzmoser <P.Filzmoser@tuwien.ac.at>
Details
For all values provided in lambda the results for Ridge regression are computed.
The function lm.ridge is used for cross-validation and
Ridge regression.
References
K. Varmuza and P. Filzmoser: Introduction to Multivariate Statistical
Analysis in Chemometrics. CRC Press, Boca Raton, FL, 2009.