Ridge: Difference between revisions
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===Purpose=== | ===Purpose=== | ||
Ridge regression by Hoerl-Kennard-Baldwin. | Ridge regression by Hoerl-Kennard-Baldwin. | ||
===Synopsis=== | ===Synopsis=== | ||
:[b,theta] = ridge(x,y,thetamax,divs,''tf'') | :[b,theta] = ridge(x,y,thetamax,divs,''tf'') | ||
===Description=== | ===Description=== | ||
RIDGE creates a ridge regression model for a matrix of predictor variables (x-block) x, and a vector of predicted variable (y-block) y. The maximum value of the ridge parameter to consider is given by thetamax (thetamax > 0). divs specifies the number of values of the ridge parameter between 0 and thetamax to be used for calculating the regression vector shown in the plots created by the ridge routine. | RIDGE creates a ridge regression model for a matrix of predictor variables (x-block) x, and a vector of predicted variable (y-block) y. The maximum value of the ridge parameter to consider is given by thetamax (thetamax > 0). divs specifies the number of values of the ridge parameter between 0 and thetamax to be used for calculating the regression vector shown in the plots created by the ridge routine. | ||
The optional variable ''tf'' allows the user to position text on the plot when tf is set to 1. The text identifies the optimum of the ridge parameter theta and can be positioned with cursors or the mouse. | The optional variable ''tf'' allows the user to position text on the plot when tf is set to 1. The text identifies the optimum of the ridge parameter theta and can be positioned with cursors or the mouse. | ||
Outputs are b the regression column vector at optimum ridge parameter theta. | Outputs are b the regression column vector at optimum ridge parameter theta. | ||
In most instances the optimum ridge parameter will be less than 0.1, often as low as 0.01. A good starting guess when working with the method is to specify thetamax = 0.1 with divs = 20. | In most instances the optimum ridge parameter will be less than 0.1, often as low as 0.01. A good starting guess when working with the method is to specify thetamax = 0.1 with divs = 20. | ||
===See Also=== | ===See Also=== | ||
[[pcr]], [[pls]], [[analysis]], [[ridgecv]] | [[pcr]], [[pls]], [[analysis]], [[ridgecv]] | ||
Revision as of 14:26, 3 September 2008
Purpose
Ridge regression by Hoerl-Kennard-Baldwin.
Synopsis
- [b,theta] = ridge(x,y,thetamax,divs,tf)
Description
RIDGE creates a ridge regression model for a matrix of predictor variables (x-block) x, and a vector of predicted variable (y-block) y. The maximum value of the ridge parameter to consider is given by thetamax (thetamax > 0). divs specifies the number of values of the ridge parameter between 0 and thetamax to be used for calculating the regression vector shown in the plots created by the ridge routine.
The optional variable tf allows the user to position text on the plot when tf is set to 1. The text identifies the optimum of the ridge parameter theta and can be positioned with cursors or the mouse.
Outputs are b the regression column vector at optimum ridge parameter theta.
In most instances the optimum ridge parameter will be less than 0.1, often as low as 0.01. A good starting guess when working with the method is to specify thetamax = 0.1 with divs = 20.