Relationship between `r` in `ridge` and `lambda` in `lm.ridge` in R

JuliaStats / MultivariateStats.jl

A Julia package for multivariate statistics and data analysis (e.g. dimension reduction)

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Relationship between `r` in `ridge` and `lambda` in `lm.ridge` in R #126

Open babaq opened 3 years ago

babaq commented 3 years ago

Hi,

I tried to move some of the R code into Julia, and found the ridge regression in MultivariateStats.jl to replace lm.ridge in R. but it seems that the lambda in R is not exactly r in ridge.

Can someone explains the differences and how can i convert the lambda to r.

babaq commented 3 years ago

the other thing is the HKB and LW estimate of the ridge constant. Could it be possible to add it to the pacakge?