FastRidge - fast ridge regression

Version (19.5 KB) by Statovic
Implementation of fast ridge regression tool that works efficiently for the case that p > n


Updated 24 Nov 2015

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This submission implements a ridge regression tool that works efficiently even if the number of predictors (p) is greater than the number of samples (n). Additionally, it implements:
* Search for optimal regularisation parameter using minimum message length and corrected AIC
* Generate regularisation paths
* Fit models with specified regularisation parameters or specified degrees-of-freedom

Cite As

Statovic (2023). FastRidge - fast ridge regression (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes

Removed superfluous reference from the file.

Updated example script to include several additional examples.

Included the diabetes dataset for the example script.