NAG Library Manual, Mark 28.6
Interfaces:  FL   CL   CPP   AD 

NAG FL Interface Introduction
Example description
    Program g02kafe

!     G02KAF Example Program Text

!     Mark 28.6 Release. NAG Copyright 2022.

!     .. Use Statements ..
      Use nag_library, Only: g02kaf, nag_wp
!     .. Implicit None Statement ..
      Implicit None
!     .. Parameters ..
      Integer, Parameter               :: nin = 5, nout = 6
!     .. Local Scalars ..
      Real (Kind=nag_wp)               :: h, nep, rss, tau, tol
      Integer                          :: df, i, ifail, ip, ldx, m, n, niter,  &
                                          opt, optloo, orig
!     .. Local Arrays ..
      Real (Kind=nag_wp), Allocatable  :: b(:), res(:), vif(:), x(:,:), y(:)
      Real (Kind=nag_wp)               :: perr(5)
      Integer, Allocatable             :: isx(:)
!     .. Intrinsic Procedures ..
      Intrinsic                        :: count
!     .. Executable Statements ..
      Write (nout,*) 'G02KAF Example Program Results'
      Write (nout,*)

!     Skip heading in data file
      Read (nin,*)

!     Read in the problem size
      Read (nin,*) n, m, h, opt, tol, niter, orig, optloo, tau

      ldx = n
      Allocate (x(ldx,m),y(n),isx(m))

!     Read in data
      Read (nin,*)(x(i,1:m),y(i),i=1,n)

!     Read in variable inclusion flags
      Read (nin,*) isx(1:m)

!     Calculate IP
      ip = count(isx(1:m)==1)

      Allocate (b(ip+1),vif(ip),res(n))

!     Fit ridge regression model
      ifail = -1
      Call g02kaf(n,m,x,ldx,isx,ip,tau,y,h,opt,niter,tol,nep,orig,b,vif,res,   &
      If (ifail/=0) Then
        If (ifail/=-1) Then
          Go To 100
        End If
      End If

!     Display results
      Write (nout,99999) 'Value of ridge parameter:', h
      Write (nout,*)
      Write (nout,99998) 'Sum of squares of residuals:', rss
      Write (nout,99997) 'Degrees of freedom: ', df
      Write (nout,99999) 'Number of effective parameters:', nep
      Write (nout,*)
      Write (nout,*) 'Parameter estimates'
      Write (nout,99995)(i,b(i),i=1,ip+1)
      Write (nout,*)
      Write (nout,99996) 'Number of iterations:', niter
      Write (nout,*)
      If (opt==1) Then
        Write (nout,*) 'Ridge parameter minimises GCV'
      Else If (opt==2) Then
        Write (nout,*) 'Ridge parameter minimises UEV'
      Else If (opt==3) Then
        Write (nout,*) 'Ridge parameter minimises FPE'
      Else If (opt==4) Then
        Write (nout,*) 'Ridge parameter minimises BIC'
      End If
      Write (nout,*)
      Write (nout,*) 'Estimated prediction errors:'
      Write (nout,99999) 'GCV    =', perr(1)
      Write (nout,99999) 'UEV    =', perr(2)
      Write (nout,99999) 'FPE    =', perr(3)
      Write (nout,99999) 'BIC    =', perr(4)
      If (optloo==2) Then
        Write (nout,99999) 'LOO CV =', perr(5)
      End If
      Write (nout,*)
      Write (nout,*) 'Residuals'
      Write (nout,99995)(i,res(i),i=1,n)
      Write (nout,*)
      Write (nout,*) 'Variance inflation factors'
      Write (nout,99995)(i,vif(i),i=1,ip)

100   Continue

99999 Format (1X,A,1X,F10.4)
99998 Format (1X,A,E11.4)
99997 Format (1X,A,1X,I5)
99996 Format (1X,A,I16)
99995 Format (1X,I4,1X,F11.4)
    End Program g02kafe