* E435 computer assignment # 6
set nocolor
file 11 b:data7-12.dat
read(11) price hatch wbase length width height &
weight cyl litres gasmpg trans
ols price hatch wbase length width height &
weight cyl litres gasmpg trans/auxrsq
* Principal Components
pc hatch wbase length width height weight &
cyl litres gasmpg trans/pcomp=pc pcinfo=info
ols price pc:1 pc:2 pc:3/pcinfo=info pcomp=pc
stat pc:1 pc:2 pc:3 hatch wbase length width height &
weight cyl litres gasmpg trans/pcor
* Ridge Regression
ols price weight cyl litres/auxrsq
* "Quick" ridge
ols price weight cyl litres/ridge=.2
* Program per SHAZAM manual
dim beta 4 10 k 10
* Let Ridge k go from .1 to .9, turn off warning messages
set nowarn
do #=1,9
genr k:#=.#
?ols price weight cyl litres/ridge=.# coef=beta:#
endo
genr k:10=0
?ols price weight cyl litres/coef=beta:10
matrix beta=beta'
print k beta
* Plot the ridge trace
sample 1 10
plot beta:1 beta:2 beta:3 k