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Relationship between r in ridge and lambda in lm.ridge in R #126

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babaq opened this issue Aug 29, 2020 · 1 comment
Open

Relationship between r in ridge and lambda in lm.ridge in R #126

babaq opened this issue Aug 29, 2020 · 1 comment

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@babaq
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babaq commented Aug 29, 2020

Hi,

I tried to move some of the R code into Julia, and found the ridge regression in MultivariateStats.jl to replace lm.ridge in R. but it seems that the lambda in R is not exactly r in ridge.

Can someone explains the differences and how can i convert the lambda to r.
@babaq
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babaq commented Aug 29, 2020 •
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the other thing is the HKB and LW estimate of the ridge constant. Could it be possible to add it to the pacakge?

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