[R] lm.ridge {MASS} ridge regression calculation question

[Ravi Varadhan]

The difference is due to the use of "n" versus "n-1" when calculating the
standard deviation for scaling.  

Try this:

Y <- matrix(c(136,144,145,169,176),byrow=F,5,1)
X1 <- matrix(c(91,105,109,130,146),byrow=F,5,1)
X2 <- matrix(c(11,13,17,19,23),byrow=F,5,1)
cY <- scale(Y, scale=FALSE)

sX1 <- scale(X1) * sqrt(5/4)  # multiply by sqrt(n / (n-1)) 
sX2 <- scale(X2) * sqrt(5/4)

library(MASS)
ans <- lm.ridge(cY ~ sX1 + sX2, lambda = 100)


Xmat <- cbind(sX1, sX2)
Ymat <- cbind(cY)
XXI <- solve(t(Xmat)%*%Xmat + 100*diag(2)) 
XY <- t(Xmat)%*%Ymat 
ridge.coef <- XXI%*%XY

all.equal(as.numeric(ridge.coef), as.numeric(ans$coef))

Ravi.

----------------------------------------------------------------------------
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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:
http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h
tml

 

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-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Jimmy Purnell
Sent: Tuesday, November 17, 2009 1:21 PM
To: r-help at r-project.org
Subject: [R] lm.ridge {MASS} ridge regression calculation question

Why do I get different coefficients for each of these methods?

Y <- matrix(c(136,144,145,169,176),byrow=F,5,1)
X1 <- matrix(c(91,105,109,130,146),byrow=F,5,1)
X2 <- matrix(c(11,13,17,19,23),byrow=F,5,1)
cY <- scale(Y, scale=FALSE)
sX1 <- scale(X1)
sX2 <- scale(X2)
library(MASS)
lm.ridge(cY ~ sX1 + sX2, lambda = 100)

This yields different coefficients than what I get from this, which I
thought should be identical (if I set the lambdas to 0 rather than 100
I get identical results):

Xmat <- cbind(sX1, sX2)
Ymat <- cbind(cY)
XXI <- solve(t(Xmat)%*%Xmat + 100*diag(2))
XY <- t(Xmat)%*%Ymat
(ridge.coef <- XXI%*%XY)

Thanks,
Jim

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