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help for ^rxrrisk^     					  STB-28: sg45
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Generalized ridge regression: true risk
---------------------------------------

	^matrix^ ^rxsigma^ ^=^ ^(^#^)^

	^matrix^ ^rxgamma^ ^=^ ^(^#,...,#^)^

	^rxrrisk^ depvar varlist [^if^ exp] [^in^ range] 
                [^,^ ^m^steps^(^#^)^ ^omd^min^(^#^)^ ^q^shape^(^#^)^ ^r^escale^(^#^)^ ^t^ol^(^#^)^ ]

To reset problem-size limits, see ^help matsize^.


Description
-----------

^rxrrisk^ calculates the true risks associated with generalized ridge 
regression shrinkage when the true sigma (standard deviation of errors) and
the true gammas (uncorrelated components) are assumed to have known values.


Options
-------

^msteps(^#^)^ specifies the number of steps per unit increase in ^MCAL^, the multi-
    collinearity allowance parameter; the default value is 4.  The total number
    of steps along the generalized shrinkage path from the least squares solu-
    tion (^MCAL^=0) to all zero coefficients (^MCAL^=p) will thus be 1+(msteps*p).

^omdmin(^#^)^ is the strictly positive minimum value to be used for calculation
    of (1-delta) shrinkage factors.  The default is 10e-13.

^qshape(^#^)^ controls the shape (or curvature) of the generalized shrinkage
    path through likelihood space; the default value is 0, which yields Hoerl-
    Kennard "ordinary" ridge regression.  ^qshape^=1 yields uniform shrinkage,
    and all ^qshape^ values between -5 and 5 are allowed.

^rescale(^#^)^ controls the scaling of the response variable and all p
    predictor variables in the ^varlist^.  The default value is ^rescale^=1 to
    scale all centered variables to have sample variance 1.  ^rescale^=0 should
    be specified to retain the original scalings.

^tol(^#^)^ specifies search convergence criterion and defaults to 0.01.


Examples
--------

 . ^matrix rxsigma = (.5)^               ...Specify true std.dev. of error terms
 . ^matrix rxgamma = (-.5,.1,-.1,-.4)^
                             ...Specify true values of uncorrelated components
 . ^rxrrisk mpg cylnds cubins hpower weight, q(-1)^
                   ...Calculate the true risks associated with ridge shrinkage

 . ^matrix rxsigma = (2.5)^
 . ^matrix rxgamma = (-.02,-.02,-.02,-1)^
 . ^rxrrisk mpg cylnds cubins hpower weight, r(0)^
           ...Choice of sigma and gammas will depend upon scaling of variables


Author
------

        Robert L. Obenchain
        Eli Lilly and Company


Also see
--------

    STB:  STB-28 sg45
On-line:  ^help^ for @rxrsimu@ and @rxridge@

