ridge regression with correlation/covariance input

[Maguin, Eugene]

Spss provides a ridge regression macro that uses the raw data file. We’ve passed the raw data through mplus to get a missing data included covariance matrix and we want to pass that through a ridge regression procedure. Has anyone done ridge regression with matrix input? Practically, I think this means having modified the ridge regression macro to process a covariance matrix?

 

Thanks, Gene Maguin

[David Marso]

If you look at the innards, one of the first thing it does is create a correlation matrix.
Just modify the macro to read the correlation matrix instead of the raw data.
You can convert the COVARIANCE matrix to a correlation matrix using MCONVERT.

Maguin, Eugene wrote

Spss provides a ridge regression macro that uses the raw data file. We've passed the raw data through mplus to get a missing data included covariance matrix and we want to pass that through a ridge regression procedure. Has anyone done ridge regression with matrix input? Practically, I think this means having modified the ridge regression macro to process a covariance matrix?

Thanks, Gene Maguin