Re: st: RE: problem with ridge regression output

[Marcello Pagano <pagano@hsph.harvard.edu>]

First, it should be stated that the added observations are zeroes (the 
ys=0).
Second, is it the ridge parameter or its square root that you want?

m.p.

FEIVESON, ALAN H. (AL) (JSC-SK) (NASA) wrote:


> Jade - I agree with you. Ridge regression is supposed to effectively add a
> positive constant to the diagonal of the cross-product matrix, so even if
> that matrix were non-full rank to begin with, it should be full rank after
> adding the ridge parameter. Of course you could always do ridge regression
> "by hand" by appending p extra observations consisting of the ridge
> parameter times an identity matrix, where p is the number of variables in
> the regression, and then doing OLS.
>
>  
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