33k views

What is ridge regression? [duplicate]

I just need a simple explanation of what exactly ridge regression is so I can have a decent intuitive understanding of it. I understand it's about applying some sort of penalty to the regression ...
24 views

Ridge regression algorithm [duplicate]

Could someone explain how ridge regression algorithm works, step by step? Without focusing too much on formulas but rather how the mechanism works.
6k views

Why does ridge estimate become better than OLS by adding a constant to the diagonal?

I understand that the ridge regression estimate is the $\beta$ that minimizes residual sum of square and a penalty on the size of $\beta$ \beta_\mathrm{ridge} = (\lambda I_D + X'X)^{-1}X'y = \...
696 views

The limit of “unit-variance” ridge regression estimator when $\lambda\to\infty$

Consider ridge regression with an additional constraint requiring that $\hat{\mathbf y}$ has unit sum of squares (equivalently, unit variance); if needed, one can assume that $\mathbf y$ has unit sum ...
949 views

Can I use lasso when it is not a high dimensional setting?

I have 500 observations and 200 predictors, and I want to do the prediction while selecting some important features. I know that regularisation method (ridge, lasso) are shrinkage method for high-...
3k views

Is Bayesian Ridge Regression another name of Bayesian Linear Regression?

I searched about Bayesian Ridge Regression on Internet but most of the result i became is about Bayesian Linear Regression. I wonder if it's both the same things because the formula look quite similar
2k views

Phoney data and ridge regression are the same?

I've read that ridge regression could be achieved by simply adding rows of data to the original data matrix, where each row is constructed using 0 for the dependent variables and the square root of $k$...
979 views

I understand the matter in the underfitting / overfitting terms but I still struggle to grasp the exact math behind it. I've checked several sources (here, here, here, here and here) but I still don't ...
371 views

How exactly does ridge regression helps in the case of multicollinearity?

I understand the reasoning behind ridge regression: we include some bias in the model in order to reduce the variance of the regression coefficients. My question is, why would we want to do that? ...
Bridge regression coefficient estimate $\hat{β}^{br}$ are the values that minimize the $$\text{RSS} + \lambda \sum_{j=1}^p|\beta_j|^q ,$$ where $q \in \mathbb{R}$ and \$q &...