Thanks a lot! Eleni On Fri, Jan 8, 2010 at 6:35 PM, Ravi Varadhan <rvarad...@jhmi.edu> wrote:
> Yes, you need to have the intercept term when you predict model-based > response. > > > > This is what you need: > > > > * ridge.test=lm.ridge(tey_values~tedata, lambda)* > > * * > > * yest <- drop(cbind(1, tedata) %*% coef(ridge.test))* > > > > Hope this helps, > > Ravi. > > > ----------------------------------------------------------------------------------- > > 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: rvarad...@jhmi.edu > > Webpage: > http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.html > > > > > ------------------------------------------------------------------------------------ > > *From:* Eleni Christodoulou [mailto:elenic...@gmail.com] > *Sent:* Friday, January 08, 2010 11:18 AM > *To:* Ravi Varadhan > *Cc:* David Winsemius; r-help@r-project.org > > *Subject:* Re: [R] Ridge regression > > > > I am sorry, I just pressed the "send" button by accident before completing > my e-mail. The yest are the estimated values according to the ridge model. > Is the way that I calculate them correct? Or should I cut the > *+coef(ridge.test)[1] > *term? > > Thanks a lot! > Eleni > > On Fri, Jan 8, 2010 at 6:16 PM, Eleni Christodoulou <elenic...@gmail.com> > wrote: > > Hello again and Happy 2010! > I was looking back at this email because I need to do some additional > processing now. I was thinking that if I take the coef(ans) I get n+1 > coefficients. I guess that the coef(ans)[1] is the constant term... Do I > need to add it when I calculate the estimated value for the outcome? > For example, lets say that I have divided my data into training data and > test data and I have the corresponding observed try_values and tey_values > (the real values for the samples that belong to the training set and the > test set respectively) > Here is my code: > * > library(MASS) > ridge.test=lm.ridge(tey_values~tedata,lambda) > est<-list() > yest<-numeric() > for(i in 1:length(tey_values)){ > est[[i]]=coef(ridge.test)[-1]*tedata[i,] > yest[i]=sum(est[[i]])+coef(ridge.test)[1] > }* > > > > On Wed, Dec 2, 2009 at 8:22 PM, Ravi Varadhan <rvarad...@jhmi.edu> wrote: > > The help page clearly states that ans$coef is "not on the original scale > and > are for use by the coef method". You also see that ans$scales gives you > the > scales used in the computation of ans$coef. > > So, to get coefficients on the original scale, you can either use coef(ans) > or you can divide ans$coef by ans$scales. > > > X1 <- runif(20) > X2 <- runif(20) > Y <- 2 * X1 - 2 * X2 + rnorm(20, sd=0.1) > > lam <- 10 > ans1 <- lm.ridge(Y ~ X1 + X2, lambda = lam) > > all.equal(ans1$coef / ans1$scales, coef(ans1)[2:3] ) > > Hope this helps, > > Ravi. > > > ---------------------------------------------------------------------------- > ------- > > Ravi Varadhan, Ph.D. > > Assistant Professor, The Center on Aging and Health > > Division of Geriatric Medicine and Gerontology > > Johns Hopkins University > > Ph: (410) 502-2619 > > Fax: (410) 614-9625 > > Email: rvarad...@jhmi.edu > > Webpage: > > http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h > tml<http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h%0Atml> > > > > > ---------------------------------------------------------------------------- > -------- > > > -----Original Message----- > From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] > On > > Behalf Of Ravi Varadhan > Sent: Wednesday, December 02, 2009 12:25 PM > To: 'David Winsemius'; 'Eleni Christodoulou' > Cc: r-help@r-project.org > Subject: Re: [R] Ridge regression > > You are right that the ans$coef and coef(ans) are different in ridge > regression, where `ans' is the object from lm.ridge. It is the coef(ans) > that yields the coefficients on the original scale. ans$coef is the > coefficient of "X-scaled" and "Y-centered" version. > > Here is an example that illustrates the workings of ridge regression. > > First let us create some data: > > X1 <- runif(20) > X2 <- runif(20) > Y <- 2 * X1 - 2 * X2 + rnorm(20, sd=0.1) > > lam <- 10 > ans1 <- lm.ridge(Y ~ X1 + X2, lambda = lam) > ans1$coef > coef(ans1) > # Note that these two are different > > # Now Let us scale the variables X1 and X2 and center Y > # > cY <- scale(Y, scale=FALSE) > n <- length(Y) > sX1 <- scale(X1) * sqrt(n/(n-1)) > sX2 <- scale(X2) * sqrt(n/(n-1)) > > require(MASS) > > lam <- 10 > ans2 <- lm.ridge(cY ~ sX1 + sX2, lambda = lam) > > ans2$coef > coef(ans2) > # Now, see that the coefficients of sX1 and sX2 are the same > # This is the connection! > > # Armed with this insight, we now compare the ans1$coef with scaled > coefficients > # > ans1$coef > c(coef(ans1)[2] * sd(X1), coef(ans1)[3] * sd(X2)) * sqrt((n-1)/n) > > # Now they are the same! > > I hope this is clear. > > Best, > Ravi. > > > ---------------------------------------------------------------------------- > ------- > > Ravi Varadhan, Ph.D. > > Assistant Professor, The Center on Aging and Health > > Division of Geriatric Medicine and Gerontology > > Johns Hopkins University > > Ph: (410) 502-2619 > > Fax: (410) 614-9625 > > Email: rvarad...@jhmi.edu > > Webpage: > > http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h > tml<http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h%0Atml> > > > > > ---------------------------------------------------------------------------- > -------- > > -----Original Message----- > From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] > On > Behalf Of David Winsemius > Sent: Wednesday, December 02, 2009 11:04 AM > To: Eleni Christodoulou > Cc: r-help@r-project.org > Subject: Re: [R] Ridge regression > > > On Dec 2, 2009, at 10:42 AM, Eleni Christodoulou wrote: > > > Dear list, > > > > I have a couple of questions concerning ridge regression. I am using > > the > > lm.ridge(...) function in order to fit a model to my microarray data. > > Thus *model=lm.ridge(...)* > > I retrieve some coefficients and some scales for each gene. First of > > all, I > > would like to ask: the real coefficients of the model are not > > included in > > the first argument of the output but in the result of coef(model), > > am I > > right? > > Not exactly. coef(model) extracts the coefficients from the model but > the coefficients do in the example instance I created following the > help page happen to be in the first element of the model. > > eg: > > long.rr$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 > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > > > > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
