Hi John/R-users, - I have attached the data set in the mail in .txt format, can be read using read.table(). Kindly let me know please if this is not sufficient. - Also, to specify the modeling scheme I am stuck at:
1. Have numerical regressors GDP, HPA and FX to predict the variable Y -- all these are quarterly time series. 2. Am looking to implement *Weighted Ridge regression* where the observation weights (in SSE computation) are decreasing into the past at 5% rate each quarter 3. Need to optimize wrt GCV criterion (leave K out scheme, K = 10% of data size) to get the best lambda (Ridge parameter) 4. Then, for this optimum lambda, compute beta over the whole data as [X'W'WX + Lambda * I]^-1 * X'W'WY (W'W is a diagonal matrix with entries decreasing at 5% from the last entry to the first, and preferably summing upto 1 ] Please let me know if anything is unclear, would be happy to elaborate. The problem is I am very new to coding and although I know of some functions that may be relevant (like lm.ridge), I am not being able to implement the entire code myself.Appreciate your help. Regards, Preetam On Tue, Sep 22, 2015 at 6:09 AM, John Kane <jrkrid...@inbox.com> wrote: > > 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: lordpree...@gmail.com > > Sent: Tue, 22 Sep 2015 01:19:38 +0530 > > To: r-help@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 > > ______________________________________________ > > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide > > http://www.R-project.org/posting-guide.html > > and provide commented, minimal, self-contained, reproducible code. > > ____________________________________________________________ > FREE 3D MARINE AQUARIUM SCREENSAVER - Watch dolphins, sharks & orcas on > your desktop! > Check it out at http://www.inbox.com/marineaquarium > > > -- Preetam Pal (+91)-9432212774 M-Stat 2nd Year, Room No. N-114 Statistics Division, C.V.Raman Hall Indian Statistical Institute, B.H.O.S. Kolkata.
T GDP Rate HPA FX Y 1 0.806660537 2.177803167 1.14980573 2.733594304 2 0.997724655 1.585686087 0.814496976 3.193948056 3 0.99032353 0.569843997 0.464488882 3.065751781 4 0.606121306 3.037648988 0.565322084 4.537399052 5 0.858131141 4.816423605 1.924534222 7.871730873 6 0.052909178 2.048591352 1.470221953 2.580646078 7 0.081400487 1.152495559 1.128828557 7.200336313 8 0.840972911 3.848225962 1.004272646 1.211124673 9 0.965868218 1.039679934 0.231408747 7.566968 10 0.952626722 4.455565591 0.483541015 9.412639513 11 0.067691757 0.038417569 0.69744243 8.055369029 12 0.985658841 1.143481763 1.65850909 6.962599601 13 0.177186946 3.762691635 0.44379572 9.904367023 14 0.490066697 0.655629739 1.281478696 1.796422139 15 0.223740666 1.393201062 1.235291827 5.237943945 16 0.782873809 1.485727273 0.224511215 6.399036418 17 0.947492758 0.318485005 1.158911495 8.183470692 18 0.49692711 2.169601457 1.777618832 8.830805294 19 0.956704273 1.546827505 0.241838792 7.554654431 20 0.404624372 3.041530693 1.66039172 6.709330773 21 0.98557461 2.45656369 1.695179666 8.638707974 22 0.494102398 4.527230971 0.993352283 7.958872374 23 0.893182943 3.429112971 0.675541115 5.665249801 24 0.669680459 0.459919029 1.011872328 8.883120607 25 0.017296599 2.184045646 1.575891106 2.585709635
______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
