My question: If you have a set of features/variables for which you perform ridge regression (X features with a Y dependent variable), to generate weights/scores, which is the most statistically sound approach of applying the ridge weights to the original standardized (mean = 0, SD=1) X matrix so that you can perform other downstream analyses?   Is it okay to just apply the ridge weights directly: |ridge weights| * Xmatrix? Where you multiply the i_th row of X by ridge weights [i].   Just to be clear, I am aware of Rick's response here https://communities.sas.com/t5/Statistical-Procedures/Ridge-regressions-with-weights-proc-reg/td-p/397267  BUT I need some clarity..got a little confused with the square root explantion.   I'm trying to understand how to make use of the weights in the most appropriate manner/multiply the original X matrix with the weights.   Many thanks! ... View more