hatr.lmridge {lmridge} | R Documentation |
Ridge Regression: Hat Matrix
Description
The hatr
function computes hat matrix (see Hastie and Tibshirani, 1990).
Usage
hatr(x, ...)
## S3 method for class 'lmridge'
hatr(x, ...)
Arguments
x |
An object of class "lmridge". |
... |
Not presently used in this implementation. |
Details
Hat matrix for scalar or vector values of biasing parameter provided as argument to lmridge
. It is used to compute degrees of freedom for given K
, and error degree of freedom etc. The hat matrix can be computed using formula X(X'X+kI)^{-1}X'
equivalently \sum{\frac{\lambda_j}{(\lambda_j+k)}}
.
Value
returns a list of matrix for each biasing parameter K
:
hatr |
A list of hat matrix for each biasing parameter |
.
Author(s)
Muhammad Imdad Ullah, Muhammad Aslam
References
Cule, E. and De lorio, M. (2012). A semi-Automatic method to guide the choice of ridge parameter in ridge regression. arXiv:abs/1205.0686v1 [stat.AP].
Hastie, T. and Tibshirani, R. (1990). Generalized Additive Models. Chapman and Hall.
Imdad, M. U. Addressing Linear Regression Models with Correlated Regressors: Some Package Development in R (Doctoral Thesis, Department of Statistics, Bahauddin Zakariya University, Multan, Pakistan), 2017.
See Also
The ridge model fitting lmridge
, ridge Var-Cov matrix vcov.lmridge
Examples
mod <- lmridge(y~., as.data.frame(Hald), K = c(0, 0.1, 0.2, 0.3))
## Hat matrix for each biasing parameter
hatr(mod)
## Hat matrix for first biasing parameter i.e. K = 0.1
hatr(mod)[[2]]