Tagged Questions
0
votes
0answers
57 views
Ridge regression on subset of variables using SVD
I am trying to figure out an algorithm using singular value decomposition to run a modification of ridge regression in which only some of the variables are penalized.
I want the output to match the ...
3
votes
0answers
237 views
When does LASSO select correlated predictors?
I'm using the package 'lars' in R with the following code:
...
6
votes
1answer
352 views
Regularized fit from summarized data: choosing the parameter
Following on from my earlier question, the solution to the normal equations for ridge regression is given by:
$$\hat{\beta}_\lambda = (X^TX+\lambda I)^{-1}X^Ty$$
Could you offer any guidance for ...
4
votes
1answer
149 views
Regularized fit from summarized data
I have a multiple linear regression problem $y=X\beta+\epsilon$. The number of observations $m$ is large, so by the time the data gets to me it's been summarized into:
$m$
$X^TX$
$X^Ty$
$y^Ty$
...
