[R] Ridge regression

[David Winsemius]

On Dec 2, 2009, at 10:42 AM, Eleni Christodoulou wrote:

> Dear list,
>
> I have a couple of questions concerning ridge regression. I am using  
> the
> lm.ridge(...) function in order to fit a model to my microarray data.
> Thus *model=lm.ridge(...)*
> I retrieve some coefficients and some scales for each gene. First of  
> all, I
> would like to ask: the real coefficients of the model are not  
> included in
> the first argument of the output but in the result of coef(model),  
> am I
> right?

Not exactly. coef(model) extracts the coefficients from the model but  
the coefficients do in the example instance I created following the  
help page happen to be in the first element of the model.

eg:
 > long.rr$coef
          GNP   Unemployed Armed.Forces   Population         Year      
Employed
   25.3615288    3.3009416    0.7520553  -11.6992718   -6.5403380     
0.7864825
 > long.rr[[1]]
          GNP   Unemployed Armed.Forces   Population         Year      
Employed
   25.3615288    3.3009416    0.7520553  -11.6992718   -6.5403380     
0.7864825

> Moreover, what does the scale argument represent? Which is its
> connection with the coefficients? The R help file os not very  
> informative
> for me...

A plausible response to such a question might be that the help page is  
a sketchy substitute for the MASS book. However, I cannot find ridge  
regression in the table of contents or in the index of my copy, but I  
only have ed. 2 and the current edition is the 4th. So we will both  
need to wait for more knowledgeable (or with more recent editions of  
MASS) persons to answer that question.

(And "scales" is not an argument, rather it's a returned value.)

>
> Thank you very much in advance,
> Eleni Christodoulou
>


David Winsemius, MD
Heritage Laboratories
West Hartford, CT