Add functionality to casl_lm_ridge to pick a reasonable sequence of values λ when none is supplied. Include an option nlam, set to 100 by default, to set the number of lambda values to be created....


Add functionality to casl_lm_ridge to pick a reasonable sequence of values λ when none is supplied. Include an option nlam, set to 100 by default, to set the number of lambda values to be created. Reasonable values can be inferred from the range of the singular values of X as shown in Equation 3.29. Note that it makes sense to select lambda values on the log scale.



May 03, 2022
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