Write a function that requires three inputs, namely, y (a T vector), X (a (T K)

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Write a function that requires three inputs, namely, y (a T vector), X (a

(T × K) matrix), and lambda and then returns the Ridge estimator (a K vector) for a given penalization parameter λ. Recall that the intercept should not be penalized. Therefore, your function should indicate whether X contains a vector of ones as the first column, which should be exempt from the L2 penalty.

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Tidy Finance With R

ISBN: 9781032389349

1st Edition

Authors: Christoph Scheuch, Stefan Voigt, Patrick Weiss

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