Statistics Toolbox    
ridge

Parameter estimates for ridge regression

Syntax

Description

b = ridge(y,X,k) returns the ridge regression coefficients b for the linear model y = X+, where:

The ridge estimator of is .

When k = 0, b is the least squares estimator. For increasing k, the bias of b increases, but the variance of b falls. For poorly conditioned X, the drop in the variance more than compensates for the bias.

Example

This example shows how the coefficients change as the value of k increases, using data from the hald dataset.

See Also
regress, stepwise


  regstats robustdemo