[R] Cox ridge regression

[Terry Therneau]

>Question 1. Consider the following example from help(ridge):

> fit1 <- coxph(Surv(futime, fustat) ~ rx + ridge(age, ecog.ps, theta=1), 
>ovarian)

>As I understand, this builds a model in which `rx' is the predictor,
>whereas ridge penalty term contains variables `age' and
>`ph.ecog'. Could someone explain what it me...

  The ridge term introduces age as a predictor AND penalizes it.  The model 
above has 3 predictors,  2 of them penalized.
  
  Later in the post you have a model with both age and ridge(age).  This puts 
age in the model twice, once as a free parameter and once as a penalized one.  
Not surprisingly, the second ends up with a coefficient of 0 (within machine 
precision of zero).   The warning message you got about NaN is likely related to 
this, that there are redundant terms in the model.
  
  	Terry Therneau