| Title: | Generalized Ridge Trace Plots for Ridge Regression |
|---|---|
| Description: | The genridge package introduces generalizations of the standard univariate ridge trace plot used in ridge regression and related methods. These graphical methods show both bias (actually, shrinkage) and precision, by plotting the covariance ellipsoids of the estimated coefficients, rather than just the estimates themselves. 2D and 3D plotting methods are provided, both in the space of the predictor variables and in the transformed space of the PCA/SVD of the predictors. |
| Authors: | Michael Friendly [aut, cre] |
| Maintainer: | Michael Friendly <[email protected]> |
| License: | GPL (>= 2) |
| Version: | 0.7.0 |
| Built: | 2024-09-04 03:06:10 UTC |
| Source: | https://github.com/friendly/genridge |
The genridge package introduces generalizations of the standard univariate ridge trace plot used in ridge regression and related methods (Friendly, 2012). These graphical methods show both bias (actually, shrinkage) and precision, by plotting the covariance ellipsoids of the estimated coefficients, rather than just the estimates themselves. 2D and 3D plotting methods are provided, both in the space of the predictor variables and in the transformed space of the PCA/SVD of the predictors.
This package provides computational support for the
graphical methods described in Friendly (2013). Ridge regression models may
be fit using the function ridge, which incorporates features
of lm.ridge. In particular, the shrinkage factors in
ridge regression may be specified either in terms of the constant added to
the diagonal of matrix (lambda), or the equivalent number
of degrees of freedom.
More importantly, the ridge function also calculates and
returns the associated covariance matrices of each of the ridge estimates,
allowing precision to be studied and displayed graphically.
This provides the support for the main plotting functions in the package:
plot.ridge: Bivariate ridge trace plots
pairs.ridge: All pairwise bivariate ridge trace plots
plot3d.ridge: 3D ridge trace plots
traceplot: Traditional univariate ridge trace plots
In addition, the function pca.ridge transforms the
coefficients and covariance matrices of a ridge object from predictor
space to the equivalent, but more interesting space of the PCA of or the SVD of X. The main plotting functions also work for these
objects, of class c("ridge", "pcaridge").
Finally, the functions precision and vif.ridge
provide other useful measures and plots.
Michael Friendly
Maintainer: Michael Friendly <[email protected]>
Friendly, M. (2013). The Generalized Ridge Trace Plot: Visualizing Bias and Precision. Journal of Computational and Graphical Statistics, 22(1), 50-68, doi:10.1080/10618600.2012.681237, https://www.datavis.ca/papers/genridge-jcgs.pdf
Arthur E. Hoerl and Robert W. Kennard (1970). Ridge Regression: Biased Estimation for Nonorthogonal Problems, Technometrics, 12(1), pp. 55-67.
Arthur E. Hoerl and Robert W. Kennard (1970). Ridge Regression: Applications to Nonorthogonal Problems Technometrics, 12(1), pp. 69-82.
# see examples for ridge, etc.# see examples for ridge, etc.
The data consist of measures of yield of a chemical manufacturing
process for acetylene in relation to numeric parameters.
A data frame with 16 observations on the following 4 variables.
yieldconversion percentage yield of acetylene
tempreactor temperature (celsius)
ratioH2 to N-heptone ratio
timecontact time (sec)
Marquardt and Snee (1975) used these data to illustrate ridge regression in a model containing quadratic and interaction terms, particularly the need to center and standardize variables appearing in high-order terms.
Typical models for these data include the interaction of temp:ratio,
and a squared term in temp
SAS documentation example for PROC REG, Ridge
Regression for Acetylene Data.
Marquardt, D.W., and Snee, R.D. (1975), "Ridge Regression in Practice," The American Statistician, 29, 3-20.
Marquardt, D.W. (1980), "A Critique of Some Ridge Regression Methods: Comment," Journal of the American Statistical Association, Vol. 75, No. 369 (Mar., 1980), pp. 87-91
data(Acetylene) # naive model, not using centering amod0 <- lm(yield ~ temp + ratio + time + I(time^2) + temp:time, data=Acetylene) y <- Acetylene[,"yield"] X0 <- model.matrix(amod0)[,-1] lambda <- c(0, 0.0005, 0.001, 0.002, 0.005, 0.01) aridge0 <- ridge(y, X0, lambda=lambda) traceplot(aridge0) traceplot(aridge0, X="df") pairs(aridge0, radius=0.2)data(Acetylene) # naive model, not using centering amod0 <- lm(yield ~ temp + ratio + time + I(time^2) + temp:time, data=Acetylene) y <- Acetylene[,"yield"] X0 <- model.matrix(amod0)[,-1] lambda <- c(0, 0.0005, 0.001, 0.002, 0.005, 0.01) aridge0 <- ridge(y, X0, lambda=lambda) traceplot(aridge0) traceplot(aridge0, X="df") pairs(aridge0, radius=0.2)
biplot.pcaridge supplements the standard display of the covariance
ellipsoids for a ridge regression problem in PCA/SVD space with labeled
arrows showing the contributions of the original variables to the dimensions
plotted.
## S3 method for class 'pcaridge' biplot( x, variables = (p - 1):p, labels = NULL, asp = 1, origin, scale, var.lab = rownames(V), var.lwd = 1, var.col = "black", var.cex = 1, xlab, ylab, prefix = "Dim ", suffix = TRUE, ... )## S3 method for class 'pcaridge' biplot( x, variables = (p - 1):p, labels = NULL, asp = 1, origin, scale, var.lab = rownames(V), var.lwd = 1, var.col = "black", var.cex = 1, xlab, ylab, prefix = "Dim ", suffix = TRUE, ... )
x |
A |
variables |
The dimensions or variables to be shown in the the plot.
By default, the last two dimensions, corresponding to the smallest
singular values, are plotted for |
labels |
A vector of character strings or expressions used as labels
for the ellipses. Use |
asp |
Aspect ratio for the plot. The default value, |
origin |
The origin for the variable vectors in this plot, a vector of length 2. If not specified, the function calculates an origin to make the variable vectors approximately centered in the plot window. |
scale |
The scale factor for variable vectors in this plot. If not specified, the function calculates a scale factor to make the variable vectors approximately fill the plot window. |
var.lab |
Labels for variable vectors. The default is the names of the predictor variables. |
var.lwd, var.col, var.cex
|
Line width, color and character size used to draw and label the arrows representing the variables in this plot. |
xlab, ylab
|
Labels for the plot dimensions. If not specified,
|
prefix |
Prefix for labels of the plot dimensions. |
suffix |
Suffix for labels of the plot dimensions. If
|
... |
Other arguments, passed to |
The biplot view showing the dimensions corresponding to the two smallest singular values is particularly useful for understanding how the predictors contribute to shrinkage in ridge regression.
This is only a biplot in the loose sense that results are shown in two spaces simultaneously – the transformed PCA/SVD space of the original predictors, and vectors representing the predictors projected into this space.
biplot.ridge is a similar extension of plot.ridge,
adding vectors showing the relation of the PCA/SVD dimensions to the plotted
variables.
class("ridge") objects use the transpose of the right singular
vectors, t(x$svd.V) for the dimension weights plotted as vectors.
None
Michael Friendly, with contributions by Uwe Ligges
Friendly, M. (2013). The Generalized Ridge Trace Plot: Visualizing Bias and Precision. Journal of Computational and Graphical Statistics, 22(1), 50-68, doi:10.1080/10618600.2012.681237, https://datavis.ca/papers/genridge-jcgs.pdf
longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) plridge <- pca(lridge) plot(plridge, radius=0.5) # same, with variable vectors biplot(plridge, radius=0.5) # add some other options biplot(plridge, radius=0.5, var.col="brown", var.lwd=2, var.cex=1.2, prefix="Dimension ") # biplots for ridge objects, showing PCA vectors plot(lridge, radius=0.5) biplot(lridge, radius=0.5) biplot(lridge, radius=0.5, asp=NA)longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) plridge <- pca(lridge) plot(plridge, radius=0.5) # same, with variable vectors biplot(plridge, radius=0.5) # add some other options biplot(plridge, radius=0.5, var.col="brown", var.lwd=2, var.cex=1.2, prefix="Dimension ") # biplots for ridge objects, showing PCA vectors plot(lridge, radius=0.5) biplot(lridge, radius=0.5) biplot(lridge, radius=0.5, asp=NA)
This is an enhancement to contour, written as a
wrapper for that function. It creates a contour plot, or adds contour lines
to an existing plot, allowing the contours to be filled and returning the
list of contour lines.
contourf( x = seq(0, 1, length.out = nrow(z)), y = seq(0, 1, length.out = ncol(z)), z, nlevels = 10, levels = pretty(zlim, nlevels), zlim = range(z, finite = TRUE), col = par("fg"), color.palette = colorRampPalette(c("white", col)), fill.col = color.palette(nlevels + 1), fill.alpha = 0.5, add = FALSE, ... )contourf( x = seq(0, 1, length.out = nrow(z)), y = seq(0, 1, length.out = ncol(z)), z, nlevels = 10, levels = pretty(zlim, nlevels), zlim = range(z, finite = TRUE), col = par("fg"), color.palette = colorRampPalette(c("white", col)), fill.col = color.palette(nlevels + 1), fill.alpha = 0.5, add = FALSE, ... )
x, y
|
locations of grid lines at which the values in |
z |
a matrix containing the values to be plotted (NAs are allowed).
Note that |
nlevels |
number of contour levels desired iff levels is not supplied |
levels |
numeric vector of levels at which to draw contour lines |
zlim |
z-limits for the plot. x-limits and y-limits can be passed through ... |
col |
color for the lines drawn |
color.palette |
a color palette function to be used to assign fill colors in the plot |
fill.col |
a call to the |
fill.alpha |
transparency value for |
add |
logical. If |
... |
additional arguments passed to |
Returns invisibly the list of contours lines, with components
levels, x, y. See
contourLines.
Michael Friendly
contourplot from package lattice.
x <- 10*1:nrow(volcano) y <- 10*1:ncol(volcano) contourf(x,y,volcano, col="blue") contourf(x,y,volcano, col="blue", nlevels=6) # return value, unfilled, other graphic parameters res <- contourf(x,y,volcano, col="blue", fill.col=NULL, lwd=2) # levels used in the plot sapply(res, function(x) x[[1]])x <- 10*1:nrow(volcano) y <- 10*1:ncol(volcano) contourf(x,y,volcano, col="blue") contourf(x,y,volcano, col="blue", nlevels=6) # return value, unfilled, other graphic parameters res <- contourf(x,y,volcano, col="blue", fill.col=NULL, lwd=2) # levels used in the plot sapply(res, function(x) x[[1]])
The data set Detroit was used extensively in the book by Miller
(2002) on subset regression. The data are unusual in that a subset of three
predictors can be found which gives a very much better fit to the data than
the subsets found from the Efroymson stepwise algorithm, or from forward
selection or backward elimination. They are also unusual in that, as time
series data, the assumption of independence is patently violated, and the
data suffer from problems of high collinearity.
As well, ridge regression reveals somewhat paradoxical paths of shrinkage in univariate ridge trace plots, that are more comprehensible in multivariate views.
A data frame with 13 observations on the following 14 variables.
PoliceFull-time police per 100,000 population
UnempPercent unemployed in the population
MfgWrkNumber of manufacturing workers in thousands
GunLicNumber of handgun licences per 100,000 population
GunRegNumber of handgun registrations per 100,000 population
HClearPercent of homicides cleared by arrests
WhMaleNumber of white males in the population
NmfgWrkNumber of non-manufacturing workers in thousands
GovWrkNumber of government workers in thousands
HrEarnAverage hourly earnings
WkEarnAverage weekly earnings
AccidentDeath rate in accidents per 100,000 population
AssaultsNumber of assaults per 100,000 population
HomicideNumber of homicides per 100,000 of population
The data were originally collected and discussed by Fisher (1976) but the
complete dataset first appeared in Gunst and Mason (1980, Appendix A).
Miller (2002) discusses this dataset throughout his book, but doesn't state
clearly which variables he used as predictors and which is the dependent
variable. (Homicide was the dependent variable, and the predictors
were Police ... WkEarn.) The data were obtained from
StatLib.
A similar version of this data set, with different variable names appears in
the bestglm package.
http://lib.stat.cmu.edu/datasets/detroit
Fisher, J.C. (1976). Homicide in Detroit: The Role of Firearms. Criminology, 14, 387–400.
Gunst, R.F. and Mason, R.L. (1980). Regression analysis and its application: A data-oriented approach. Marcel Dekker.
Miller, A. J. (2002). Subset Selection in Regression. 2nd Ed. Chapman & Hall/CRC. Boca Raton.
data(Detroit) # Work with a subset of predictors, from Miller (2002, Table 3.14), # the "best" 6 variable model # Variables: Police, Unemp, GunLic, HClear, WhMale, WkEarn # Scale these for comparison with other methods Det <- as.data.frame(scale(Detroit[,c(1,2,4,6,7,11)])) Det <- cbind(Det, Homicide=Detroit[,"Homicide"]) # use the formula interface; specify ridge constants in terms # of equivalent degrees of freedom dridge <- ridge(Homicide ~ ., data=Det, df=seq(6,4,-.5)) # univariate trace plots are seemingly paradoxical in that # some coefficients "shrink" *away* from 0 traceplot(dridge, X="df") vif(dridge) pairs(dridge, radius=0.5) plot3d(dridge, radius=0.5, labels=dridge$df) # transform to PCA/SVD space dpridge <- pca(dridge) # not so paradoxical in PCA space traceplot(dpridge, X="df") biplot(dpridge, radius=0.5, labels=dpridge$df) # show PCA vectors in variable space biplot(dridge, radius=0.5, labels=dridge$df)data(Detroit) # Work with a subset of predictors, from Miller (2002, Table 3.14), # the "best" 6 variable model # Variables: Police, Unemp, GunLic, HClear, WhMale, WkEarn # Scale these for comparison with other methods Det <- as.data.frame(scale(Detroit[,c(1,2,4,6,7,11)])) Det <- cbind(Det, Homicide=Detroit[,"Homicide"]) # use the formula interface; specify ridge constants in terms # of equivalent degrees of freedom dridge <- ridge(Homicide ~ ., data=Det, df=seq(6,4,-.5)) # univariate trace plots are seemingly paradoxical in that # some coefficients "shrink" *away* from 0 traceplot(dridge, X="df") vif(dridge) pairs(dridge, radius=0.5) plot3d(dridge, radius=0.5, labels=dridge$df) # transform to PCA/SVD space dpridge <- pca(dridge) # not so paradoxical in PCA space traceplot(dpridge, X="df") biplot(dpridge, radius=0.5, labels=dpridge$df) # show PCA vectors in variable space biplot(dridge, radius=0.5, labels=dridge$df)
The hospital manpower data, taken from Myers (1990), table 3.8, are a well-known example of highly collinear data to which ridge regression and various shrinkage and selection methods are often applied.
The data consist of measures taken at 17 U.S. Naval Hospitals and the goal is to predict the required monthly man hours for staffing purposes.
A data frame with 17 observations on the following 6 variables.
Hoursmonthly man hours (response variable)
Loadaverage daily patient load
Xraymonthly X-ray exposures
BedDaysmonthly occupied bed days
AreaPopeligible population in the area in thousands
Stayaverage length of patient's stay in days
Myers (1990) indicates his source was "Procedures and Analysis for Staffing Standards Development: Data/Regression Analysis Handbook", Navy Manpower and Material Analysis Center, San Diego, 1979.
Raymond H. Myers (1990). Classical and Modern Regression with Applications, 2nd ed., PWS-Kent, pp. 130-133.
Donald R. Jensen and Donald E. Ramirez (2012). Variations on Ridge Traces in Regression, Communications in Statistics - Simulation and Computation, 41 (2), 265-278.
manpower for the same data, and other
analyses
data(Manpower) mmod <- lm(Hours ~ ., data=Manpower) vif(mmod) # ridge regression models, specified in terms of equivalent df mridge <- ridge(Hours ~ ., data=Manpower, df=seq(5, 3.75, -.25)) vif(mridge) # univariate ridge trace plots traceplot(mridge) traceplot(mridge, X="df") # bivariate ridge trace plots plot(mridge, radius=0.25, labels=mridge$df) pairs(mridge, radius=0.25) # 3D views # ellipsoids for Load, Xray & BedDays are nearly 2D plot3d(mridge, radius=0.2, labels=mridge$df) # variables in model selected by AIC & BIC plot3d(mridge, variables=c(2,3,5), radius=0.2, labels=mridge$df) # plots in PCA/SVD space mpridge <- pca(mridge) traceplot(mpridge, X="df") biplot(mpridge, radius=0.25)data(Manpower) mmod <- lm(Hours ~ ., data=Manpower) vif(mmod) # ridge regression models, specified in terms of equivalent df mridge <- ridge(Hours ~ ., data=Manpower, df=seq(5, 3.75, -.25)) vif(mridge) # univariate ridge trace plots traceplot(mridge) traceplot(mridge, X="df") # bivariate ridge trace plots plot(mridge, radius=0.25, labels=mridge$df) pairs(mridge, radius=0.25) # 3D views # ellipsoids for Load, Xray & BedDays are nearly 2D plot3d(mridge, radius=0.2, labels=mridge$df) # variables in model selected by AIC & BIC plot3d(mridge, variables=c(2,3,5), radius=0.2, labels=mridge$df) # plots in PCA/SVD space mpridge <- pca(mridge) traceplot(mpridge, X="df") biplot(mpridge, radius=0.25)
Displays all possible pairs of bivariate ridge trace plots for a given set of predictors.
## S3 method for class 'ridge' pairs( x, variables, radius = 1, lwd = 1, lty = 1, col = c("black", "red", "darkgreen", "blue", "darkcyan", "magenta", "brown", "darkgray"), center.pch = 16, center.cex = 1.25, digits = getOption("digits") - 3, diag.cex = 2, diag.panel = panel.label, fill = FALSE, fill.alpha = 0.3, ... )## S3 method for class 'ridge' pairs( x, variables, radius = 1, lwd = 1, lty = 1, col = c("black", "red", "darkgreen", "blue", "darkcyan", "magenta", "brown", "darkgray"), center.pch = 16, center.cex = 1.25, digits = getOption("digits") - 3, diag.cex = 2, diag.panel = panel.label, fill = FALSE, fill.alpha = 0.3, ... )
x |
A |
variables |
Predictors in the model to be displayed in the plot: an integer or character vector, giving the indices or names of the variables. |
radius |
Radius of the ellipse-generating circle for the covariance ellipsoids. |
lwd, lty
|
Line width and line type for the covariance ellipsoids. Recycled as necessary. |
col |
A numeric or character vector giving the colors used to plot the covariance ellipsoids. Recycled as necessary. |
center.pch |
Plotting character used to show the bivariate ridge estimates. Recycled as necessary. |
center.cex |
Size of the plotting character for the bivariate ridge estimates |
digits |
Number of digits to be displayed as the (min, max) values in the diagonal panels |
diag.cex |
Character size for predictor labels in diagonal panels |
diag.panel |
Function to draw diagonal panels. Not yet implemented:
just uses internal |
fill |
Logical vector: Should the covariance ellipsoids be filled? Recycled as necessary. |
fill.alpha |
Numeric vector: alpha transparency value(s) for filled ellipsoids. Recycled as necessary. |
... |
Other arguments passed down |
None. Used for its side effect of plotting.
Michael Friendly
Friendly, M. (2013). The Generalized Ridge Trace Plot: Visualizing Bias and Precision. Journal of Computational and Graphical Statistics, 22(1), 50-68, doi:10.1080/10618600.2012.681237, https://www.datavis.ca/papers/genridge-jcgs.pdf
ridge for details on ridge regression as implemented here
plot.ridge, traceplot for other plotting methods
longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) pairs(lridge, radius=0.5, diag.cex=1.75) data(prostate) py <- prostate[, "lpsa"] pX <- data.matrix(prostate[, 1:8]) pridge <- ridge(py, pX, df=8:1) pairs(pridge)longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) pairs(lridge, radius=0.5, diag.cex=1.75) data(prostate) py <- prostate[, "lpsa"] pX <- data.matrix(prostate[, 1:8]) pridge <- ridge(py, pX, df=8:1) pairs(pridge)
The function pca.ridge transforms a ridge object from
parameter space, where the estimated coefficients are with
covariance matrices , to the principal component space defined
by the right singular vectors, , of the singular value decomposition
of the scaled predictor matrix, .
In this space, the transformed coefficients are , with
covariance matrices
.
This transformation provides alternative views of ridge estimates in low-rank approximations. In particular, it allows one to see where the effects of collinearity typically reside — in the smallest PCA dimensions.
pca(x, ...)pca(x, ...)
x |
A |
... |
Other arguments passed down. Not presently used in this implementation. |
An object of class c("ridge", "pcaridge"), with the same
components as the original ridge object.
Michael Friendly
Friendly, M. (2013). The Generalized Ridge Trace Plot: Visualizing Bias and Precision. Journal of Computational and Graphical Statistics, 22(1), 50-68, doi:10.1080/10618600.2012.681237, https://www.datavis.ca/papers/genridge-jcgs.pdf
longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) plridge <- pca(lridge) traceplot(plridge) pairs(plridge) # view in space of smallest singular values plot(plridge, variables=5:6)longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) plridge <- pca(lridge) traceplot(plridge) pairs(plridge) # view in space of smallest singular values plot(plridge, variables=5:6)
The bivariate ridge trace plot displays 2D projections of the covariance ellipsoids for a set of ridge regression estimates indexed by a ridge tuning constant.
The centers of these ellipses show the bias induced for each parameter, and also how the change in the ridge estimate for one parameter is related to changes for other parameters.
The size and shapes of the covariance ellipses show directly the effect on precision of the estimates as a function of the ridge tuning constant.
## S3 method for class 'ridge' plot( x, variables = 1:2, radius = 1, which.lambda = 1:length(x$lambda), labels = lambda, pos = 3, cex = 1.2, lwd = 2, lty = 1, xlim, ylim, col = c("black", "red", "darkgreen", "blue", "darkcyan", "magenta", "brown", "darkgray"), center.pch = 16, center.cex = 1.5, fill = FALSE, fill.alpha = 0.3, ref = TRUE, ref.col = gray(0.7), ... )## S3 method for class 'ridge' plot( x, variables = 1:2, radius = 1, which.lambda = 1:length(x$lambda), labels = lambda, pos = 3, cex = 1.2, lwd = 2, lty = 1, xlim, ylim, col = c("black", "red", "darkgreen", "blue", "darkcyan", "magenta", "brown", "darkgray"), center.pch = 16, center.cex = 1.5, fill = FALSE, fill.alpha = 0.3, ref = TRUE, ref.col = gray(0.7), ... )
x |
A |
variables |
Predictors in the model to be displayed in the plot: an
integer or character vector of length 2, giving the indices or names of the
variables. Defaults to the first two predictors for |
radius |
Radius of the ellipse-generating circle for the covariance
ellipsoids. The default, |
which.lambda |
A vector of indices used to select the values of
|
labels |
A vector of character strings or expressions used as labels
for the ellipses. Use |
pos, cex
|
Scalars or vectors of positions (relative to the ellipse centers) and character size used to label the ellipses |
lwd, lty
|
Line width and line type for the covariance ellipsoids. Recycled as necessary. |
xlim, ylim
|
X, Y limits for the plot, each a vector of length 2. If missing, the range of the covariance ellipsoids is used. |
col |
A numeric or character vector giving the colors used to plot the covariance ellipsoids. Recycled as necessary. |
center.pch |
Plotting character used to show the bivariate ridge estimates. Recycled as necessary. |
center.cex |
Size of the plotting character for the bivariate ridge estimates |
fill |
Logical vector: Should the covariance ellipsoids be filled? Recycled as necessary. |
fill.alpha |
Numeric vector: alpha transparency value(s) in the range (0, 1) for filled ellipsoids. Recycled as necessary. |
ref |
Logical: whether to draw horizontal and vertical reference lines at 0. |
ref.col |
Color of reference lines. |
... |
Other arguments passed down to
|
None. Used for its side effect of plotting.
Michael Friendly
Friendly, M. (2013). The Generalized Ridge Trace Plot: Visualizing Bias and Precision. Journal of Computational and Graphical Statistics, 22(1), 50-68, doi:10.1080/10618600.2012.681237, https://www.datavis.ca/papers/genridge-jcgs.pdf
ridge for details on ridge regression as implemented
here
pairs.ridge, traceplot,
biplot.pcaridge and plot3d.ridge for other
plotting methods
longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lambdaf <- c("", ".005", ".01", ".02", ".04", ".08") lridge <- ridge(longley.y, longley.X, lambda=lambda) op <- par(mfrow=c(2,2), mar=c(4, 4, 1, 1)+ 0.1) for (i in 2:5) { plot(lridge, variables=c(1,i), radius=0.5, cex.lab=1.5) text(lridge$coef[1,1], lridge$coef[1,i], expression(~widehat(beta)^OLS), cex=1.5, pos=4, offset=.1) if (i==2) text(lridge$coef[-1,1:2], lambdaf[-1], pos=3, cex=1.25) } par(op) data(prostate) py <- prostate[, "lpsa"] pX <- data.matrix(prostate[, 1:8]) pridge <- ridge(py, pX, df=8:1) plot(pridge) plot(pridge, fill=c(TRUE, rep(FALSE,7)))longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lambdaf <- c("", ".005", ".01", ".02", ".04", ".08") lridge <- ridge(longley.y, longley.X, lambda=lambda) op <- par(mfrow=c(2,2), mar=c(4, 4, 1, 1)+ 0.1) for (i in 2:5) { plot(lridge, variables=c(1,i), radius=0.5, cex.lab=1.5) text(lridge$coef[1,1], lridge$coef[1,i], expression(~widehat(beta)^OLS), cex=1.5, pos=4, offset=.1) if (i==2) text(lridge$coef[-1,1:2], lambdaf[-1], pos=3, cex=1.25) } par(op) data(prostate) py <- prostate[, "lpsa"] pX <- data.matrix(prostate[, 1:8]) pridge <- ridge(py, pX, df=8:1) plot(pridge) plot(pridge, fill=c(TRUE, rep(FALSE,7)))
The 3D ridge trace plot displays 3D projections of the covariance ellipsoids for a set of ridge regression estimates indexed by a ridge tuning constant.
The centers of these ellipses show the bias induced for each parameter, and also how the change in the ridge estimate for one parameter is related to changes for other parameters.
The size and shapes of the covariance ellipsoids show directly the effect on precision of the estimates as a function of the ridge tuning constant.
plot3d.ridge and plot3d.pcaridge differ only in the defaults
for the variables plotted.
plot3d(x, ...) ## S3 method for class 'pcaridge' plot3d(x, variables = (p - 2):p, ...) ## S3 method for class 'ridge' plot3d( x, variables = 1:3, radius = 1, which.lambda = 1:length(x$lambda), lwd = 1, lty = 1, xlim, ylim, zlim, xlab, ylab, zlab, col = c("black", "red", "darkgreen", "blue", "darkcyan", "magenta", "brown", "darkgray"), labels = lambda, ref = TRUE, ref.col = gray(0.7), segments = 40, shade = TRUE, shade.alpha = 0.1, wire = FALSE, aspect = 1, add = FALSE, ... )plot3d(x, ...) ## S3 method for class 'pcaridge' plot3d(x, variables = (p - 2):p, ...) ## S3 method for class 'ridge' plot3d( x, variables = 1:3, radius = 1, which.lambda = 1:length(x$lambda), lwd = 1, lty = 1, xlim, ylim, zlim, xlab, ylab, zlab, col = c("black", "red", "darkgreen", "blue", "darkcyan", "magenta", "brown", "darkgray"), labels = lambda, ref = TRUE, ref.col = gray(0.7), segments = 40, shade = TRUE, shade.alpha = 0.1, wire = FALSE, aspect = 1, add = FALSE, ... )
x |
A |
... |
Other arguments passed down |
variables |
Predictors in the model to be displayed in the plot: an
integer or character vector of length 3, giving the indices or names of the
variables. Defaults to the first three predictors for |
radius |
Radius of the ellipse-generating circle for the covariance
ellipsoids. The default, |
which.lambda |
A vector of indices used to select the values of
|
lwd, lty
|
Line width and line type for the covariance ellipsoids. Recycled as necessary. |
xlim, ylim, zlim
|
X, Y, Z limits for the plot, each a vector of length 2. If missing, the range of the covariance ellipsoids is used. |
xlab, ylab, zlab
|
Labels for the X, Y, Z variables in the plot. If
missing, the names of the predictors given in |
col |
A numeric or character vector giving the colors used to plot the covariance ellipsoids. Recycled as necessary. |
labels |
A numeric or character vector giving the labels to be drawn at the centers of the covariance ellipsoids. |
ref |
Logical: whether to draw horizontal and vertical reference lines at 0. This is not yet implemented. |
ref.col |
Color of reference lines. |
segments |
Number of line segments used in drawing each dimension of a covariance ellipsoid. |
shade |
a logical scalar or vector, indicating whether the ellipsoids
should be rendered with |
shade.alpha |
a numeric value in the range [0,1], or a vector of such
values, giving the alpha transparency for ellipsoids rendered with
|
wire |
a logical scalar or vector, indicating whether the ellipsoids
should be rendered with |
aspect |
a scalar or vector of length 3, or the character string "iso",
indicating the ratios of the x, y, and z axes of the bounding box. The
default, |
add |
if |
None. Used for its side-effect of plotting
This is an initial implementation. The details and arguments are subject to change.
Michael Friendly
Friendly, M. (2013). The Generalized Ridge Trace Plot: Visualizing Bias and Precision. Journal of Computational and Graphical Statistics, 22(1), 50-68, doi:10.1080/10618600.2012.681237, https://www.datavis.ca/papers/genridge-jcgs.pdf
plot.ridge, pairs.ridge,
pca.ridge
lmod <- lm(Employed ~ GNP + Unemployed + Armed.Forces + Population + Year + GNP.deflator, data=longley) longley.y <- longley[, "Employed"] longley.X <- model.matrix(lmod)[,-1] lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lambdaf <- c("0", ".005", ".01", ".02", ".04", ".08") lridge <- ridge(longley.y, longley.X, lambda=lambda) plot3d(lridge, var=c(1,4,5), radius=0.5) # view in SVD/PCA space plridge <- pca(lridge) plot3d(plridge, radius=0.5)lmod <- lm(Employed ~ GNP + Unemployed + Armed.Forces + Population + Year + GNP.deflator, data=longley) longley.y <- longley[, "Employed"] longley.X <- model.matrix(lmod)[,-1] lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lambdaf <- c("0", ".005", ".01", ".02", ".04", ".08") lridge <- ridge(longley.y, longley.X, lambda=lambda) plot3d(lridge, var=c(1,4,5), radius=0.5) # view in SVD/PCA space plridge <- pca(lridge) plot3d(plridge, radius=0.5)
Calculates measures of precision based on the size of the estimated covariance matrices of the parameters and shrinkage of the parameters in a ridge regression model. function does. ~~
Three measures of (inverse) precision based on the “size” of the
covariance matrix of the parameters are calculated. Let be the
covariance matrix for a given ridge constant, and let be its eigenvalues
or
measures the linearized
volume of the covariance ellipsoid and corresponds conceptually to Wilks'
Lambda criterion
corresponds conceptually to Pillai's trace criterion
corresponds to Roy's largest root criterion.
precision(object, det.fun, normalize, ...)precision(object, det.fun, normalize, ...)
object |
An object of class |
det.fun |
Function to be applied to the determinants of the covariance
matrices, one of |
normalize |
If |
... |
Other arguments (currently unused) |
A data.frame with the following columns
lambda |
The ridge constant |
df |
The equivalent effective degrees of freedom |
det |
The |
trace |
The trace of the covariance matrix |
max.eig |
Maximum eigen value of the covariance matrix |
norm.beta |
The root mean square of the estimated coefficients, possibly normalized |
Models fit by lm and ridge use a different scaling for
the predictors, so the results of precision for an lm model
will not correspond to those for ridge with ridge constant = 0.
Michael Friendly
longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) clr <- c("black", rainbow(length(lambda)-1, start=.6, end=.1)) coef(lridge) (pdat <- precision(lridge)) # plot log |Var(b)| vs. length(beta) with(pdat, { plot(norm.beta, det, type="b", cex.lab=1.25, pch=16, cex=1.5, col=clr, lwd=2, xlab='shrinkage: ||b|| / max(||b||)', ylab='variance: log |Var(b)|') text(norm.beta, det, lambda, cex=1.25, pos=c(rep(2,length(lambda)-1),4)) text(min(norm.beta), max(det), "Variance vs. Shrinkage", cex=1.5, pos=4) }) # plot trace[Var(b)] vs. length(beta) with(pdat, { plot(norm.beta, trace, type="b", cex.lab=1.25, pch=16, cex=1.5, col=clr, lwd=2, xlab='shrinkage: ||b|| / max(||b||)', ylab='variance: trace [Var(b)]') text(norm.beta, trace, lambda, cex=1.25, pos=c(2, rep(4,length(lambda)-1))) # text(min(norm.beta), max(det), "Variance vs. Shrinkage", cex=1.5, pos=4) })longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) clr <- c("black", rainbow(length(lambda)-1, start=.6, end=.1)) coef(lridge) (pdat <- precision(lridge)) # plot log |Var(b)| vs. length(beta) with(pdat, { plot(norm.beta, det, type="b", cex.lab=1.25, pch=16, cex=1.5, col=clr, lwd=2, xlab='shrinkage: ||b|| / max(||b||)', ylab='variance: log |Var(b)|') text(norm.beta, det, lambda, cex=1.25, pos=c(rep(2,length(lambda)-1),4)) text(min(norm.beta), max(det), "Variance vs. Shrinkage", cex=1.5, pos=4) }) # plot trace[Var(b)] vs. length(beta) with(pdat, { plot(norm.beta, trace, type="b", cex.lab=1.25, pch=16, cex=1.5, col=clr, lwd=2, xlab='shrinkage: ||b|| / max(||b||)', ylab='variance: trace [Var(b)]') text(norm.beta, trace, lambda, cex=1.25, pos=c(2, rep(4,length(lambda)-1))) # text(min(norm.beta), max(det), "Variance vs. Shrinkage", cex=1.5, pos=4) })
Data to examine the correlation between the level of prostate-specific antigen and a number of clinical measures in men who were about to receive a radical prostatectomy.
A data frame with 97 observations on the following 10 variables.
log cancer volume
log prostate weight
in years
log of the amount of benign prostatic hyperplasia
seminal vesicle invasion
log of capsular penetration
a numeric vector
percent of Gleason score 4 or 5
response
a logical vector
This data set came originally from the (now defunct) ElemStatLearn package.
The last column indicates which 67 observations were used as the "training set" and which 30 as the test set, as described on page 48 in the book.
There was an error in this dataset in earlier versions of the package, as indicated in a footnote on page 3 of the second edition of the book. As of version 2012.04-0 this was corrected.
Stamey, T., Kabalin, J., McNeal, J., Johnstone, I., Freiha, F., Redwine, E. and Yang, N (1989) Prostate specific antigen in the diagnosis and treatment of adenocarcinoma of the prostate II. Radical prostatectomy treated patients, Journal of Urology, 16: 1076–1083.
data(prostate) str( prostate ) cor( prostate[,1:8] ) prostate <- prostate[, -10] prostate.mod <- lm(lpsa ~ ., data=prostate) vif(prostate.mod) py <- prostate[, "lpsa"] pX <- data.matrix(prostate[, 1:8]) pridge <- ridge(py, pX, df=8:1) pridge plot(pridge) pairs(pridge) traceplot(pridge) traceplot(pridge, X="df")data(prostate) str( prostate ) cor( prostate[,1:8] ) prostate <- prostate[, -10] prostate.mod <- lm(lpsa ~ ., data=prostate) vif(prostate.mod) py <- prostate[, "lpsa"] pX <- data.matrix(prostate[, 1:8]) pridge <- ridge(py, pX, df=8:1) pridge plot(pridge) pairs(pridge) traceplot(pridge) traceplot(pridge, X="df")
The function ridge fits linear models by ridge regression, returning
an object of class ridge designed to be used with the plotting
methods in this package.
Ridge regression shrinkage can be parameterized in several ways. If a vector
of lambda values is supplied, these are used directly in the ridge
regression computations. Otherwise, if a vector df is supplied the
equivalent values of lambda. In either case, both lambda and
df are returned in the ridge object, but the rownames of the
coefficients are given in terms of lambda.
ridge(y, ...) ## S3 method for class 'formula' ridge(formula, data, lambda = 0, df, svd = TRUE, ...) ## Default S3 method: ridge(y, X, lambda = 0, df, svd = TRUE, ...) ## S3 method for class 'ridge' coef(object, ...) ## S3 method for class 'ridge' print(x, digits = max(5, getOption("digits") - 5), ...) ## S3 method for class 'ridge' vcov(object, ...)ridge(y, ...) ## S3 method for class 'formula' ridge(formula, data, lambda = 0, df, svd = TRUE, ...) ## Default S3 method: ridge(y, X, lambda = 0, df, svd = TRUE, ...) ## S3 method for class 'ridge' coef(object, ...) ## S3 method for class 'ridge' print(x, digits = max(5, getOption("digits") - 5), ...) ## S3 method for class 'ridge' vcov(object, ...)
y |
A numeric vector containing the response variable. NAs not allowed. |
... |
Other arguments, passed down to methods |
formula |
For the |
data |
For the |
lambda |
A scalar or vector of ridge constants. A value of 0 corresponds to ordinary least squares. |
df |
A scalar or vector of effective degrees of freedom corresponding
to |
svd |
If |
X |
A matrix of predictor variables. NA's not allowed. Should not include a column of 1's for the intercept. |
x, object
|
An object of class |
digits |
For the |
A list with the following components:
lambda |
The vector of ridge constants |
df |
The vector of effective degrees of freedom corresponding to |
coef |
The matrix of estimated ridge regression coefficients |
scales |
scalings used on the X matrix |
kHKB |
HKB estimate of the ridge constant |
kLW |
L-W estimate of the ridge constant |
GCV |
vector of GCV values |
kGCV |
value of |
If svd==TRUE, the following are also included:
svd.D |
Singular values of the |
svd.U |
Left singular vectors of the |
svd.V |
Right singular vectors of the |
Michael Friendly
Hoerl, A. E., Kennard, R. W., and Baldwin, K. F. (1975), "Ridge Regression: Some Simulations," Communications in Statistics, 4, 105-123.
Lawless, J.F., and Wang, P. (1976), "A Simulation Study of Ridge and Other Regression Estimators," Communications in Statistics, 5, 307-323.
lm.ridge for other implementations of ridge
regression
traceplot, plot.ridge,
pairs.ridge, plot3d.ridge, for 1D, 2D, 3D plotting methods
pca.ridge, biplot.ridge,
biplot.pcaridge for views in PCA/SVD space
precision.ridge for measures of shrinkage and precision
#\donttest{ # Longley data, using number Employed as response longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) # same, using formula interface lridge <- ridge(Employed ~ GNP + Unemployed + Armed.Forces + Population + Year + GNP.deflator, data=longley, lambda=lambda) coef(lridge) # standard trace plot traceplot(lridge) # plot vs. equivalent df traceplot(lridge, X="df") pairs(lridge, radius=0.5) #} data(prostate) py <- prostate[, "lpsa"] pX <- data.matrix(prostate[, 1:8]) pridge <- ridge(py, pX, df=8:1) pridge plot(pridge) pairs(pridge) traceplot(pridge) traceplot(pridge, X="df") # Hospital manpower data from Table 3.8 of Myers (1990) data(Manpower) str(Manpower) mmod <- lm(Hours ~ ., data=Manpower) vif(mmod) # ridge regression models, specified in terms of equivalent df mridge <- ridge(Hours ~ ., data=Manpower, df=seq(5, 3.75, -.25)) vif(mridge) # univariate ridge trace plots traceplot(mridge) traceplot(mridge, X="df") # bivariate ridge trace plots plot(mridge, radius=0.25, labels=mridge$df) pairs(mridge, radius=0.25) # 3D views # ellipsoids for Load, Xray & BedDays are nearly 2D plot3d(mridge, radius=0.2, labels=mridge$df) # variables in model selected by AIC & BIC plot3d(mridge, variables=c(2,3,5), radius=0.2, labels=mridge$df) # plots in PCA/SVD space mpridge <- pca(mridge) traceplot(mpridge, X="df") biplot(mpridge, radius=0.25)#\donttest{ # Longley data, using number Employed as response longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) # same, using formula interface lridge <- ridge(Employed ~ GNP + Unemployed + Armed.Forces + Population + Year + GNP.deflator, data=longley, lambda=lambda) coef(lridge) # standard trace plot traceplot(lridge) # plot vs. equivalent df traceplot(lridge, X="df") pairs(lridge, radius=0.5) #} data(prostate) py <- prostate[, "lpsa"] pX <- data.matrix(prostate[, 1:8]) pridge <- ridge(py, pX, df=8:1) pridge plot(pridge) pairs(pridge) traceplot(pridge) traceplot(pridge, X="df") # Hospital manpower data from Table 3.8 of Myers (1990) data(Manpower) str(Manpower) mmod <- lm(Hours ~ ., data=Manpower) vif(mmod) # ridge regression models, specified in terms of equivalent df mridge <- ridge(Hours ~ ., data=Manpower, df=seq(5, 3.75, -.25)) vif(mridge) # univariate ridge trace plots traceplot(mridge) traceplot(mridge, X="df") # bivariate ridge trace plots plot(mridge, radius=0.25, labels=mridge$df) pairs(mridge, radius=0.25) # 3D views # ellipsoids for Load, Xray & BedDays are nearly 2D plot3d(mridge, radius=0.2, labels=mridge$df) # variables in model selected by AIC & BIC plot3d(mridge, variables=c(2,3,5), radius=0.2, labels=mridge$df) # plots in PCA/SVD space mpridge <- pca(mridge) traceplot(mpridge, X="df") biplot(mpridge, radius=0.25)
The traceplot function extends and simplifies the univariate ridge
trace plots for ridge regression provided in the plot method for
lm.ridge
traceplot( x, X = c("lambda", "df"), col = c("black", "red", "darkgreen", "blue", "darkcyan", "magenta", "brown", "darkgray"), pch = c(15:18, 7, 9, 12, 13), xlab, ylab = "Coefficient", xlim, ylim, ... )traceplot( x, X = c("lambda", "df"), col = c("black", "red", "darkgreen", "blue", "darkcyan", "magenta", "brown", "darkgray"), pch = c(15:18, 7, 9, 12, 13), xlab, ylab = "Coefficient", xlim, ylim, ... )
x |
A |
X |
What to plot as the horizontal coordinate, one of |
col |
A numeric or character vector giving the colors used to plot the ridge trace curves. Recycled as necessary. |
pch |
Vector of plotting characters used to plot the ridge trace curves. Recycled as necessary. |
xlab |
Label for horizontal axis |
ylab |
Label for vertical axis |
xlim, ylim
|
x, y limits for the plot |
... |
Other arguments passed to |
For ease of interpretation, the variables are labeled at the side of the
plot (left, right) where the coefficient estimates are expected to be most
widely spread. If xlim is not specified, the range of the X
variable is extended slightly to accommodate the variable names.
None. Used for its side effect of plotting.
Michael Friendly
Friendly, M. (2013). The Generalized Ridge Trace Plot: Visualizing Bias and Precision. Journal of Computational and Graphical Statistics, 22(1), 50-68, doi:10.1080/10618600.2012.681237, https://www.datavis.ca/papers/genridge-jcgs.pdf
Hoerl, A. E. and Kennard R. W. (1970). "Ridge Regression: Applications to Nonorthogonal Problems", Technometrics, 12(1), 69-82.
ridge for details on ridge regression as implemented here
plot.ridge, pairs.ridge for other plotting
methods
longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) traceplot(lridge) #abline(v=lridge$kLW, lty=3) #abline(v=lridge$kHKB, lty=3) #text(lridge$kLW, -3, "LW") #text(lridge$kHKB, -3, "HKB") traceplot(lridge, X="df")longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) traceplot(lridge) #abline(v=lridge$kLW, lty=3) #abline(v=lridge$kHKB, lty=3) #text(lridge$kLW, -3, "LW") #text(lridge$kHKB, -3, "HKB") traceplot(lridge, X="df")
Takes a vector of colors (as color names or rgb hex values) and adds a specified alpha transparency to each.
trans.colors(col, alpha = 0.5, names = NULL)trans.colors(col, alpha = 0.5, names = NULL)
col |
A character vector of colors, either as color names or rgb hex values |
alpha |
alpha transparency value(s) to apply to each color (0 means fully transparent and 1 means opaque) |
names |
optional character vector of names for the colors |
Colors (col) and alpha need not be of the same length. The
shorter one is replicated to make them of the same length.
A vector of color values of the form "#rrggbbaa"
Michael Friendly
trans.colors(palette(), alpha=0.5) # alpha can be vectorized trans.colors(palette(), alpha=seq(0, 1, length=length(palette()))) # lengths need not match: shorter one is repeated as necessary trans.colors(palette(), alpha=c(.1, .2)) trans.colors(colors()[1:20]) # single color, with various alphas trans.colors("red", alpha=seq(0,1, length=5)) # assign names trans.colors("red", alpha=seq(0,1, length=5), names=paste("red", 1:5, sep=""))trans.colors(palette(), alpha=0.5) # alpha can be vectorized trans.colors(palette(), alpha=seq(0, 1, length=length(palette()))) # lengths need not match: shorter one is repeated as necessary trans.colors(palette(), alpha=c(.1, .2)) trans.colors(colors()[1:20]) # single color, with various alphas trans.colors("red", alpha=seq(0,1, length=5)) # assign names trans.colors("red", alpha=seq(0,1, length=5), names=paste("red", 1:5, sep=""))
The function vif.ridge calculates variance inflation factors for the
predictors in a set of ridge regression models indexed by the
tuning/shrinkage factor.
## S3 method for class 'ridge' vif(mod, ...)## S3 method for class 'ridge' vif(mod, ...)
mod |
A |
... |
Other arguments (unused) |
Variance inflation factors are calculated using the simplified formulation in Fox & Monette (1992).
Returns a matrix of variance inflation factors of the same size and
shape as coef{mod}. The columns correspond to the predictors in the
model and the rows correspond to the values of lambda in ridge
estimation.
Michael Friendly
Fox, J. and Monette, G. (1992). Generalized collinearity diagnostics. JASA, 87, 178-183
data(longley) lmod <- lm(Employed ~ GNP + Unemployed + Armed.Forces + Population + Year + GNP.deflator, data=longley) vif(lmod) longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) coef(lridge) vridge <- vif(lridge) vridge # plot VIFs pch <- c(15:18, 7, 9) clr <- c("black", rainbow(5, start=.6, end=.1)) matplot(rownames(vridge), vridge, type='b', xlab='Ridge constant (k)', ylab="Variance Inflation", xlim=c(0, 0.08), col=clr, pch=pch, cex=1.2) text(0.0, vridge[1,], colnames(vridge), pos=4) matplot(lridge$df, vridge, type='b', xlab='Degrees of freedom', ylab="Variance Inflation", col=clr, pch=pch, cex=1.2) text(6, vridge[1,], colnames(vridge), pos=2) # more useful to plot VIF on the sqrt scale matplot(rownames(vridge), sqrt(vridge), type='b', xlab='Ridge constant (k)', ylab=expression(sqrt(VIF)), xlim=c(-0.01, 0.08), col=clr, pch=pch, cex=1.2, cex.lab=1.25) text(-0.01, sqrt(vridge[1,]), colnames(vridge), pos=4, cex=1.2) matplot(lridge$df, sqrt(vridge), type='b', xlab='Degrees of freedom', ylab=expression(sqrt(VIF)), col=clr, pch=pch, cex=1.2, cex.lab=1.25) text(6, sqrt(vridge[1,]), colnames(vridge), pos=2, cex=1.2)data(longley) lmod <- lm(Employed ~ GNP + Unemployed + Armed.Forces + Population + Year + GNP.deflator, data=longley) vif(lmod) longley.y <- longley[, "Employed"] longley.X <- data.matrix(longley[, c(2:6,1)]) lambda <- c(0, 0.005, 0.01, 0.02, 0.04, 0.08) lridge <- ridge(longley.y, longley.X, lambda=lambda) coef(lridge) vridge <- vif(lridge) vridge # plot VIFs pch <- c(15:18, 7, 9) clr <- c("black", rainbow(5, start=.6, end=.1)) matplot(rownames(vridge), vridge, type='b', xlab='Ridge constant (k)', ylab="Variance Inflation", xlim=c(0, 0.08), col=clr, pch=pch, cex=1.2) text(0.0, vridge[1,], colnames(vridge), pos=4) matplot(lridge$df, vridge, type='b', xlab='Degrees of freedom', ylab="Variance Inflation", col=clr, pch=pch, cex=1.2) text(6, vridge[1,], colnames(vridge), pos=2) # more useful to plot VIF on the sqrt scale matplot(rownames(vridge), sqrt(vridge), type='b', xlab='Ridge constant (k)', ylab=expression(sqrt(VIF)), xlim=c(-0.01, 0.08), col=clr, pch=pch, cex=1.2, cex.lab=1.25) text(-0.01, sqrt(vridge[1,]), colnames(vridge), pos=4, cex=1.2) matplot(lridge$df, sqrt(vridge), type='b', xlab='Degrees of freedom', ylab=expression(sqrt(VIF)), col=clr, pch=pch, cex=1.2, cex.lab=1.25) text(6, sqrt(vridge[1,]), colnames(vridge), pos=2, cex=1.2)