This package got retired and archived on 2023-05-05
You can still find the gfn-function package file here: https://github.com/atecon/ridge/blob/master/src/ridge.gfn
Please use the regls addon written by Allin Cottrell instead:
https://sourceforge.net/projects/gretl/files/addons/doc/regls.pdf
Package for running Ridge-regression using gretl.
Authors: Sven Schreiber and Artur Tarassow
This does not involve any cross-validation for obtaining some optimal shrinkage hyper-parameter 'lambda'.
Point coefficients as well as associated standard errors are returned for pre-defined lambda values.
Various statistics-of-fit are computed:
- R-square as computed in scikit-learn
- R-square as the squared correlation between reaizations and fitted values
- Adjusted version of (2)
- AIC
- BIC
- Generalized Cross-Validation statistics