[R] Running GCV Optimization under Ridge Regression

[John Kane]

No data. 

Please have a look at http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example and http://adv-r.had.co.nz/Reproducibility.html
John Kane
Kingston ON Canada


> -----Original Message-----
> From: lordpreetam at gmail.com
> Sent: Tue, 22 Sep 2015 01:19:38 +0530
> To: r-help at r-project.org
> Subject: [R] Running GCV Optimization under Ridge Regression
> 
> Hi guys,
> 
> I am running Ridge regression on a dataset (predicted variable = y; GDP,
> HPA and FX are regressors). I found that lm.ridge() can perform the ridge
> regression given any value of lambda (i.e. the ridge parameter). However,
> in order to choose the best results, I need to select the model output
> corresponding to that lambda which optimizes some logically defined GCV
> criteria. I thought there would be some in-built funcion in R Studio for
> this, but could not find one. Also, I am not being able to write the
> required code for this. Any help here will be appreciated. I have
> attached
> the data in case it is required.
> 
> Thanks,
> Preetam
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