Heterogeneous Variance Components

Specify this option to estimate a distinct variance component (ridge parameter) for each predictor. This is a more general form of ridge regression model.

You should specify this option only when you have a relatively few number of predictors compared to the number of observations. It is advisable that you use it in conjunction with the Maximum Number of Predictors to Use parameter.

Estimates of the variance components are listed on the SAS Output tab on the Ridge Regression output dashboard.

To Specify This Option:

8

Click within the check box.