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.
