Ridge Regression Lambda

The ridge regression lambda is specified by the user within the Multiple Regression module.   

The vector of standardized ridge regression estimates is given as follows:

bstandardized ridge = ( RXX + lambda * I )-1 RYX

RXX = correlation matrix of predictors

RYX  = vector of correlations between the response and the predictors

Lambda = user specified shrinkage parameter

I = identity matrix

The standardized coefficients are then placed on the raw scale via:

bi,ridge = ( sY/sxi ) bi,standardized ridge


sy = standard deviation of the response

sxi = standard deviation of the predictor

the intercept is then given by: