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Thread Subject:
Ridge Regression -- parameters and variance?

Subject: Ridge Regression -- parameters and variance?

From: Vivek Saxena

Date: 26 Mar, 2010 13:28:05

Message: 1 of 1

Hi everyone,

I was trying my hand with the 'ridge' command in MATLAB (http://www.mathworks.com/access/helpdesk/help/toolbox/stats/ridge.html). And I realized that the command only returns the parameter estimates. Is there some way I can get the variances also?

What about the value of the ridge parameter (complexity/shrinkage parameter k) itself? Is there some way I can determine the value of k when the ridge trace plot saturates?

Thanks in advance.

Cheers
Vivek

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