RXshrink (1.1)

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Maximum Likelihood Shrinkage via Generalized Ridge or Least Angle Regression.


Identify and display TRACEs for a specified shrinkage path and determine the extent of shrinkage most likely, under normal distribution theory, to produce an optimal reduction in MSE Risk in estimates of regression (beta) coefficients. Alternative estimates are also provided when ill-conditioned (nearly multicollinear) models yield OLS estimates with "wrong" numerical signs.

Maintainer: Bob Obenchain
Author(s): Bob Obenchain

License: GPL

Uses: lars

Released about 1 year ago.

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