This recently revised and updated paper (v3) introduces the Efficient p-parameter Shrinkage Path that heads directly towards and passes directly through the GRR point-estimate that is Most Likely under Normal distribution-theory to achieve an Optimal Variance-Bias Trade-Off in estimation of linear regression coefficients.
The RXshrink R-package for maximum likelihood shrinkage via "generalized ridge" or "least angle" regression methods is currently Version 2.0, April 2021. By visiting CRAN, you can Read about this new version and View / Download the 31-page RXshrink-manual.pdf that documents the many individual functions and datasets within this package.
This REVISED 52 page document contains a wealth of information about GRR estimation with Version 2.0 of RXshrink (April 2021), including examples of function calls, the resulting outputs and details on their interpretation.
This UPDATED 10-page "mcal.pdf" explains why the "multicollinearity allowance" measure of Shrinkage Extent is the IDEAL horizontal axis when plotting a Ridge TRACE.
ridge, BLUP, Bayes, spline & Stein
1985 - 2004, 185 pages [1781KB]