[R] Cox ridge regression

[ljubomir at sfsu.edu]

Thank you Terry, that answered all questions.

As a suggestion, help page for ridge() might indicate that the ridge
term simultaneously introduces predictors and penalizes them.

Ljubomir


From: Terry Therneau <therneau at mayo.edu>
To: Ljubomir Buturovic <ljubomir at sfsu.edu>
Cc: r-help at r-project.org
Subject: Re: Cox ridge regression
Date: Mon, 3 Aug 2009 09:20:42 -0500 (CDT)

> Question 1. Consider the following example from help(ridge):

> fit1 <- coxph(Surv(futime, fustat) ~ rx + ridge(age, ecog.ps,  
> theta=1), ovarian)

> As I understand, this builds a model in which `rx' is the predictor,
> whereas ridge penalty term contains variables `age' and
> `ph.ecog'. Could someone explain what it me...

   The ridge term introduces age as a predictor AND penalizes it.  The model
above has 3 predictors,  2 of them penalized.

   Later in the post you have a model with both age and ridge(age).  This puts
age in the model twice, once as a free parameter and once as a penalized one.
Not surprisingly, the second ends up with a coefficient of 0 (within machine
precision of zero).   The warning message you got about NaN is likely  
related to
this, that there are redundant terms in the model.

   	Terry Therneau