Re: [R] use of sequence on ridge regression

From: Rodrigo Briceño <rjavierbriceno_at_gmail.com>
Date: Wed, 07 May 2008 19:51:47 -0600

Sorry to bother with this topic, but I'm still not clear about the meaning of the value set that is used on lambda values. Is there a correct way of doing that? My doubt is how to choose those 3 values that appear in the example.
Thanks.

On Wed, May 7, 2008 at 9:29 AM, Prof Brian Ripley <ripley_at_stats.ox.ac.uk> wrote:
> On Wed, 7 May 2008, Rodrigo Briceño wrote:
>
>
> > Nice to meet you Brian. The question is about the numbers that appears
> > after lambda (0,0, 0.1, 0.0001). I know that seq is a set of values used
> > for testing which value fits best. But I'm not sure if I need to put
> > whatever I think or what. I tried also with a set of 5 values and I get
> > an error. Is there a maximum allowed?
> >
>
> So you mean the set of values of lambda? It is just a set to be use for a
> plot and for searching in the select() methods.
>
> There is an R function called sequence(), and it is not the same as seq().
>
>
>
>
> >
> > plot(lm.ridge(hipcenter ~ .,seatpos, lambda = seq(0,0.1,0.001)))
> > select(lm.ridge(hipcenter ~ ., seatpos,lambda = seq(0,0.1,0.001)))
> >
> > __________________________________________________________________
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> > Prof Brian Ripley wrote:
> > What do you mean by 'the sequence option'?
> >
> > The authot of lm.ridge
> >
> > On Wed, 7 May 2008, Rodrigo Briceño wrote:
> >
> > Dear R users. I have a doubt about the use of the
> > sequence option on
> > Ridge regression. I'm trying to understand the
> > use of this option when
> > variables are highly linear correlated. I'm
> > running a model where the
> > variables HtShoes and Ht have high VIF values. My
> > program is written
> > below, but I'm not sure about the correct way of
> > using the sequence
> > option:
> >
> > library (faraway)
> > data (seatpos)
> > attach (seatpos)
> > spos.mod <- lm(hipcenter ~ .,seatpos) summary
> > (spos.mod)
> > library(MASS)
> > lm.ridge(hipcenter ~ .,seatpos)
> > plot(lm.ridge(hipcenter ~ .,seatpos, lambda =
> > seq(0,0.1,0.001)))
> > select(lm.ridge(hipcenter ~ ., seatpos,lambda =
> > seq(0,0.1,0.001)))
> >
> > Any advice will be appreaciated. Rodrigo B.
> >
> > ______________________________________________
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> >
> >
> >
> >
> >
>
>
> --
> Brian D. Ripley, ripley_at_stats.ox.ac.uk
> Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
> University of Oxford, Tel: +44 1865 272861 (self)
> 1 South Parks Road, +44 1865 272866 (PA)
> Oxford OX1 3TG, UK Fax: +44 1865 272595



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