| 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>