Since the lm.ridge function does not have a weights argument, here are a couple of alternatives:
1: The lasso does something along the same lines as ridge regression and the l1ce function in the lasso2 package has a weights argument, you could try that approach and see if it gives you want you want. 2: Standard regression solves the matrix equation (x'x)b = x'y for b, weighted regression solves the equation (x'Wx)b = x'Wy for b where W is the matrix of weights (diagonal matrix for wls, covariance matrix for gls). Now if you have a matrix w such that w'w = W (just the square root of the weights if using the diagonal matrix) and you define x* = wx and y*=wy, then if you do regular regression (ols) on y* and x* you get: (x*'x*)b = x*'y* => ( (wx)'(wx) ) b = (wx)'(wy) => ( x'w'wx )b = x'w'wy => (x'Wx)b = x'Wy Which is the weighted least squares (wls). So doing a regular regression on y* and x* gives a weighted regression, so it would stand to reason that doing a ridge regression on y*=wy and x*=wx would give something along the lines of a weighted ridge regression (I am not an expert on ridge regression, so I don't know if there are any hidden traps to this approach). Hope this helps, -- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare [EMAIL PROTECTED] (801) 408-8111 > -----Original Message----- > From: [EMAIL PROTECTED] > [mailto:[EMAIL PROTECTED] On Behalf Of Benny Wong > Sent: Thursday, April 12, 2007 2:37 PM > To: [EMAIL PROTECTED] > Subject: [R] Question on ridge regression with R > > Hi, > I am working on a project about hospital efficiency. Due to > the high multicolinearlity of the data, I want to fit the > model using ridge regression. However, I believe that the > data from large hospital(indicated by the number of patients > they treat a year) is more accurate than from small > hosptials, and I want to put more weight on them. How do I do > this with lm.ridge? > I know I just need to put "weights=***" in lm function, but > for lm.ridge, i don't see that option in lm.ridge. > > Could somebody give me suggestions on that? > > > thanks > ben > > [[alternative HTML version deleted]] > > ______________________________________________ > [EMAIL PROTECTED] 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. > ______________________________________________ [EMAIL PROTECTED] 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.
