meff {RXshrink}R Documentation

m-Extents of Shrinkage used in eff.ridge() Calculations.

Description

The meff() function computes the numerical Shrinkage delta-factors corresponding to any desired m-Extent of Shrinkage, meobj, along the "efficient" (shortest) Path used by eff.ridge(). This Two-Piece Linear Path has its single "interior" Knot at the Normal-theory Maximum Likelihood estimate with Minimum MSE Risk: d[j] = dMSE[j] for j = 1, 2, ..., p.

Usage

  meff(meobj, p, dMSE)

Arguments

meobj

A desired m-Extent of Shrinkage along the "efficient" Path.

p

The integer number of non-constant x-variables used in defining the linear model being fitted to ill-conditioned (intercorrelated, confounded) data. Note that p must also be rank of the given X-matrix.

dMSE

Maximum Likelihood [ML] estimates of Shrinkage Delta-Factors leading to minimum MSE risk.

Value

The appropriate scalar value for m and corresponding p by p diagonal matrix d:

meobj

Any desired m-Extent of Shrinkage (a scalar) within [0, p].

d

The p by p diagonal matrix of shrinkage-factors: d[j,j] in [0, 1].

Author(s)

Bob Obenchain <wizbob@att.net>

See Also

eff.ridge and eff.aug.


[Package RXshrink version 2.3 Index]