g.ridge

Ridge regression due to Hoerl and Kennard (1970)doi:10.1080/00401706.1970.10488634 and generalized ridge regression due to Yang and Emura (2017)doi:10.1080/03610918.2016.1193195 with optimized tuning parameters. These ridge regression estimators (the HK estimator and the YE estimator) are computed by minimizing the cross-validated mean squared errors. Both the ridge and generalized ridge estimators are applicable for high-dimensional regressors (p>n), where p is the number of regressors, and n is the sample size.