# How to calculate regularization parameters in generalized ridge regression given the degrees of freedom and input matrix?

I read a Q/A from here which is extremely nice.

In the above Q/Answer the tuning parameter $λ$ was a scalar. But in my problem it is a vector $\lambda$ for a generalized ridge regression case. The degrees of freedom is a fixed integer (assumed known).
I am struggling to set up an iteration search for vector $\lambda$ like the one given herein.

• What is "generalized ridge regression"? – amoeba Dec 29 '14 at 13:19