fastridge {penppml}

Finding Ridge Regression Solutions

Description

A wrapper around fastridgeCpp, for faster computation of the analytical solution for ridge regression.

Usage

fastridge(x, y, weights = rep(1/n, n), lambda, standardize = TRUE)

Arguments

x

Regressor matrix.

y

Dependent variable (a numeric vector).

weights

Vector of weights.

lambda

Penalty parameter.

standardize

Logical. If TRUE, x is standardized using the weights.

Value

A vector of coefficient (beta) estimates.