Chapter Contents |
Previous |
Next |
The REG Procedure |
Let X be an n ×p matrix of the independent variables after centering the data, and let Y be an n ×1 vector corresponding to the dependent variable. Let D be a p ×p diagonal matrix with diagonal elements as in X'X. The ridge regression estimate corresponding to the ridge constant k can be computed as
For IPC analysis, the smallest m eigenvalues of Z'Z (where m is specified with the PCOMIT= option) are omitted to form the estimates.
For information about ridge regression and IPC standardized parameter estimates, parameter estimate standard errors, and variance inflation factors, refer to Rawlings (1988), Neter, Wasserman, and Kutner (1990), and Marquardt and Snee (1975). Unlike Rawlings (1988), the REG procedure uses the mean squared errors of the submodels instead of the full model MSE to compute the standard errors of the parameter estimates.
Chapter Contents |
Previous |
Next |
Top |
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.