Statistics: ridge

### Function Reference: `ridge`

statistics: b = ridge (y, X, k)
statistics: b = ridge (y, X, k, scaled)

Ridge regression.

`b = ridge (y, X, k)` returns the vector of coefficient estimates by applying ridge regression from the predictor matrix X to the response vector y. Each value of b is the coefficient for the respective ridge parameter given k. By default, b is calculated after centering and scaling the predictors to have a zero mean and standard deviation 1.

`b = ridge (y, X, k, scaled)` performs the regression with the specified scaling of the coefficient estimates b. When `scaled = 0`, the function restores the coefficients to the scale of the original data thus is more useful for making predictions. When `scaled = 1`, the coefficient estimates correspond to the scaled centered data.

- `y` must be an N×1 numeric vector with the response data.
- `X` must be an N×p numeric matrix with the predictor data.
- `k` must be a numeric vectir with the ridge parameters.
- `scaled` must be a numeric scalar indicating whether the coefficient estimates in b are restored to the scale of the original data. By default, `scaled = 1`.

Further information about Ridge regression can be found at https://en.wikipedia.org/wiki/Ridge_regression

See also: lasso, stepwisefit, regress

Source Code: ridge

### Example: 1

     ## Perform ridge regression for a range of ridge parameters and observe
     ## how the coefficient estimates change based on the acetylene dataset.

     load acetylene

     X = [x1, x2, x3];

     x1x2 = x1 .* x2;
     x1x3 = x1 .* x3;
     x2x3 = x2 .* x3;

     D = [x1, x2, x3, x1x2, x1x3, x2x3];

     k = 0:1e-5:5e-3;

     b = ridge (y, D, k);

     figure
     plot (k, b, "LineWidth", 2)
     ylim ([-100, 100])
     grid on
     xlabel ("Ridge Parameter")
     ylabel ("Standardized Coefficient")
     title ("Ridge Trace")
     legend ("x1", "x2", "x3", "x1x2", "x1x3", "x2x3")

### Example: 2

     load carbig
     X = [Acceleration Weight Displacement Horsepower];
     y = MPG;

     n = length(y);

     rand("seed",1); % For reproducibility

     c = cvpartition(n,'HoldOut',0.3);
     idxTrain = training(c,1);
     idxTest = ~idxTrain;

     idxTrain = training(c,1);
     idxTest = ~idxTrain;

     k = 5;
     b = ridge(y(idxTrain),X(idxTrain,:),k,0);

     % Predict MPG values for the test data using the model.
     yhat = b(1) + X(idxTest,:)*b(2:end);
     scatter(y(idxTest),yhat)

     hold on
     plot(y(idxTest),y(idxTest),"r")
     xlabel('Actual MPG')
     ylabel('Predicted MPG')
     hold off