How do I interpret ridge regression coefficients?

What do ridge regression coefficients tell us?

Ridge regression coefficients indicate the strength and direction of the relationship between predictors and the response variable, while also addressing multicollinearity.

How do I know if a coefficient is significant?

You can assess significance by looking at the magnitude of the coefficients relative to their standard errors, or by using cross-validation to evaluate model performance.

What does it mean if a coefficient is close to zero?

A coefficient close to zero suggests that the corresponding predictor has little to no effect on the response variable, especially in the context of ridge regression where coefficients are shrunk.

Can I compare ridge regression coefficients to those from ordinary least squares?

Yes, but be cautious. Ridge regression coefficients are biased due to regularization, while OLS coefficients are unbiased. Comparing them directly can be misleading.