ridge
Ridge regression.
b = ridge (y, X, k)
returns the vector of
coefficient estimates by applying ridge regression from the predictor matrix
X to the response vector y. Each value of b is the
coefficient for the respective ridge parameter given k. By default,
b is calculated after centering and scaling the predictors to have a
zero mean and standard deviation 1.
b = ridge (y, X, k, scaled)
performs the
regression with the specified scaling of the coefficient estimates b.
When scaled = 0
, the function restores the coefficients to the
scale of the original data thus is more useful for making predictions. When
scaled = 1
, the coefficient estimates correspond to the scaled
centered data.
y
must be an numeric vector with the response data.
X
must be an numeric matrix with the predictor data.
k
must be a numeric vectir with the ridge parameters.
scaled
must be a numeric scalar indicating whether the coefficient
estimates in b are restored to the scale of the original data. By
default, scaled = 1
.
Further information about Ridge regression can be found at https://en.wikipedia.org/wiki/Ridge_regression
See also: lasso, stepwisefit, regress
Source Code: ridge
## Add some description here!! load acetylene X = [x1, x2, x3]; x0 = ones (16, 1); x1x2 = x1 .* x2; x1x3 = x1 .* x3; x2x3 = x2 .* x3; D = [x1, x2, x3, x1x2, x1x3, x2x3]; k = 0:1e-5:5e-3; b = ridge (y, D, k); figure plot (k, b, "LineWidth", 2) ylim ([-100, 100]) grid on xlabel ("Ridge Parameter") ylabel ("Standardized Coefficient") title ("Ridge Trace") legend ("x1", "x2", "x3", "x1x2", "x1x3", "x2x3") |