a vector specifying validation group membership. Default is to
construct refs using a method that is a function of the sample size N:
if N<=20, leave-one-out is used refs=1:N, if N<=40,
10-fold Cross Validation is used where group membership is chosen randomly
but with equal size groups, otherwise 5-fold CV with random group memberships.
tol
the sensitivity in calculations near zero.
only.ridge
logical, whether only the ridge Parameters should be passed back or
additionally the Cross Validation penalised likelihood.
doPlot
logical, whether a plot of -2logL vs a candidate for the ridge parameter should be drawn.
col
color of Plot symbols.
type
type of Plot symbols.
…
further plot arguments.
Value
A list with the following component:
ridgeParameter
the estimated ridge parameter
If only.ridge=FALSE the returned list additionally contains the element:
minLL
the minimum of the negative log-likelihood
.
Details
This function estimates the ridge parameter when applying ridge regularization to a sample correlation matrix of residuals. The ridge parameter is estimated to maximize the normal likelihood as estimated via cross validation (Warton 2008).
References
Warton D.I. (2008). Penalized normal likelihood and ridge regularization of
correlation and covariance matrices. Journal of the American
Statistical Association 103, 340-349.