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Techniques for analyzing the relationship between one (or more) "dependent" variables and "independent" variables.
2
votes
Multiple Linear Regression and Correlation of two beta estimates
Write $\hat{\mathbf\beta} = (\hat\beta_0,\hat\beta_1,\hat\beta_2,\hat\beta_3,)'$. You have
$$
\hat{\mathbf\beta} = (X'X)^{-1}X'y
$$
You're interested in the variance-covariance matrix of $\hat{\mathbf …
2
votes
Accepted
Regression with samples which have same features but different target values
First, using your terminology, there must be at least some observations with different features, i.e. the matrix of features should be of full rank. You can search for "multicolinearity" problems that …
3
votes
Why don't we want to choose a big $\lambda$ in ridge regression?
Ridge regression penalizes "big" values of the coefficients $\beta$, and the degree of this penalization is proportional to $\lambda$. … It is worth noting that Ridge regression will never "eliminate" parameters as your question suggests. If you want to do model selection, I would suggest looking into Lasso instead, for a start. …