The ridge precision estimator \((S + \lambda I)^{-1}\) has no zero entries. For Gaussian data its partial correlations estimate those of \((\Sigma + \kappa I)^{-1}\), where the effective penalty \(\kappa\) exceeds \(\lambda\) (Arashi and Ebrahim, 2026, submitted). This vignette shows how to estimate \(\kappa\) and how to select edges. These functions come from the package ridgegraph by Mohammad Arashi.
library(ebrahim.gof)
set.seed(1)
p <- 30; n <- 20
theta <- diag(p)
for (i in 1:(p - 1)) theta[i, i + 1] <- theta[i + 1, i] <- 0.4
x <- matrix(rnorm(n * p), n, p) %*% chol(solve(theta))
effective_penalty(x, c(0.05, 0.5, 5))
#> lambda df_ratio scale kappa
#> 1 0.05 0.9232675 0.07673254 0.651614
#> 2 0.50 0.6788698 0.32113025 1.557001
#> 3 5.00 0.2748789 0.72512113 6.895400
effective_penalty_floor(x)
#> [1] 0.4619051With \(p > n\) the effective penalty does not fall below the floor however small \(\lambda\) is. Edges can be selected with the permutation threshold.