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.

  • 1
    What is "generalized ridge regression"? – amoeba Dec 29 '14 at 13:19

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