From: <daniel_at_sintesys.com.ar>

Date: Tue 23 Aug 2005 - 03:03:29 EST

and if a take k=Ridge$kHKV, the coefficients should be approx equal to Ridge$Coef[near value of kHKV] and it does not seem to happen, why?

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Tue Aug 23 03:21:37 2005

Date: Tue 23 Aug 2005 - 03:03:29 EST

Hello, I have posted this mail a few days ago without any answer:

I have the following doubts related with lm.ridge, from MASS package. To show the problem using the Longley example, I have the following doubts:

First: I think coefficients from lm(Employed~.,data=longley) should be
equal coefficients from lm.ridge(Employed~.,data=longley, lambda=0) why
it does not happen?

Second: if I have for example

Ridge<-lm.ridge(Employed~., data=longley, lambda = seq(0,0.1,0.001)), I
suppose intercept coefficient is defined implicit, why it does not
appear in Ridge$coef?

Third: I suppose that if I define

1) y<-longley$Employed 2) X<-as.matrix(cbind(1,Longley[,1:6]) 3) I as the identity the following should be true: Coef=(X'X+kI)^(-1) X'y

and if a take k=Ridge$kHKV, the coefficients should be approx equal to Ridge$Coef[near value of kHKV] and it does not seem to happen, why?

Values:

> Ridge$kHKB

[1] 0.004275357

Using the calculation above (third question, third point): Coef=

[,1] 1 -0.095492310 GNP.deflator -0.052759002 GNP 0.070993540 Unemployed -0.004244391 Armed.Forces -0.005725582 Population -0.413341544 Year 0.048420107

And if I take from Ridge&coef:

Ridge$coef[0.004]

GNP.deflator -0.03098507

**GNP -1.32553151
**

Unemployed -1.53237769

Armed.Forces -0.63334911

Population -0.88690241

Year 6.82105049

Any help, suggestion or orientation?

Thanks in advance

Daniel Rozengardt

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Tue Aug 23 03:21:37 2005

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