Re: [R] survival: ridge log-likelihood workaround

2010-12-14 Thread Damjan Krstajic
Krstajic Subject: Re: [R] survival: ridge log-likelihood workaround From: thern...@mayo.edu To: r-help@r-project.org; dkrsta...@hotmail.com Date: Fri, 10 Dec 2010 09:07:42 -0600 -- begin inclusion - Dear all, I need to calculate likelihood ratio test for ridge regression

Re: [R] survival: ridge log-likelihood workaround

2010-12-14 Thread Therneau, Terry M., Ph.D.
You ask some good questions. I would like to clarify statistics that ridge coxph returns. Here is my understanding and please correct me where I am wrong. 1) In his paper Gray [JASA 1992] suggests a Wald-type statistics with the formula for degree of freedom. The summary function for

Re: [R] survival: ridge log-likelihood workaround

2010-12-10 Thread Terry Therneau
-- begin inclusion - Dear all, I need to calculate likelihood ratio test for ridge regression. In February I have reported a bug where coxph returns unpenalized log-likelihood for final beta estimates for ridge coxph regression. In high-dimensional settings ridge regression models

[R] survival: ridge log-likelihood workaround

2010-12-09 Thread Damjan Krstajic
Dear all, I need to calculate likelihood ratio test for ridge regression. In February I have reported a bug where coxph returns unpenalized log-likelihood for final beta estimates for ridge coxph regression. In high-dimensional settings ridge regression models usually fail for lower values of