Ridge Regression Parameter Estimation.

ridgregextra: An R package for ridge regression parameter estimation

ridgregextra focuses on finding the ridge parameter value k which makes the VIF values closest to 1 while keeping them above 1 as stressed "Applied Linear Statistical Models" (Kutner et al., 2004). The package includes the ridgereg_k function, presents a system that automatically determines the k value in a certain range defined by the user and provides detailed ridge regression results. ridgereg_k also provides ridge regression tables (VIF, MSE, R2, Beta, Stdbeta) using vif_k function for k ridge parameter values generated between certain lower and upper bound values.

In addition, the ridge_reg function provides users the ridge regression results for a manually entered k value. Finally ridgregextra provides three sets of graphs consisting k versus VIF values, regression coefficents and standard errors of them.

ridgregextra was presented for the first time in "Why R? Turkey 2022" conference.

Installing ridgregextra from CRAN

install.packages("ridgregextra")

Installing ridgregextra development version

Please make sure that you installed devtools package.

If you would like to install dev version of the package, please use following command.

devtools::install_github(filizkrdg/ridgregextra)

Example usage of the package.

You can use isdals package to have example data to test ridgregextra package. isdals package is being installed, while you are installing ridgregextra package, so you don't have to install the package again.

• Prepare the dataset

library(isdals)
data(bodyfat)
x=bodyfat[,-1]
y=bodyfat[,1]

• Run ridgereg_k function to get coefficients by using alternative approach to traditional ridge regression techniques.

ridgereg_k(x,y,0,1)

You can use mctest package to have example data to test ridgregextra package. mctest package is being installed, while you are installing ridgregextra package, so you don't have to install the package again.

• Prepare the dataset

library("mctest")
x=Hald[,-1]
y=Hald[,1]

• Run ridgereg_k function to get coefficients by using alternative approach to traditional ridge regression techniques.

ridgereg_k(x,y,0,1)

References

• Kutner, M.H., Nachtsheim, C.J., Neter, J., Li, W., Applied Linear Statistical Models, pp.430-440, 2004.
• Karadağ, F. and Sazak, H.S., “R Algorithm for Ridge Parameter Estimation in Ridge Regression” Why R? Turkey 2022 Conference, online, Verbal, Summary Text, p.13, 2022. (https://www.nobelyayin.com/why-r-turkiye-2022-konferansi-18447.html)

Contact

For any questions please contact:

• Filiz Karadag, [email protected]
• Hakan Savas Sazak, [email protected]
• Olgun Aydin, [email protected].