Re: [R] ridge regression - covariance matrices of ridge

Hi Michael, The coefficients of ridge regression are given by: \beta^* = (X'X + k I)^{-1} X' y, (1) where k 0 is the penalty parameter and I is the identity matrix. The ridge estimates are related to OLS estimates \beta as follows: \beta^* = Z \beta,

[R] ridge regression - covariance matrices of ridge coefficients

For an application of ridge regression, I need to get the covariance matrices of the estimated regression coefficients in addition to the coefficients for all values of the ridge contstant, lambda. I've studied the code in MASS:::lm.ridge, but don't see how to do this because the code is