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Ridge Lasso

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Ridge regression

Why Ridge

1. Too many predictors.

observations, e.g. microarray data analysis,

enviromental pollution studies.

penalization will result in large prediction intervals, and

LS regression estimator may not uniquely exist.

Why Ridge

2. Ill conditioned X

problems in computing LS if XX were singular or nearly singular.

changes in (XX)1.

training data, but it will not fit sufficiently well to the test data.

Ridge Regression

One way out of this situation is to abandon the

requirement of an unbiased estimator.

that we have no need for a constant term in the

regression:

X is a n by p matrix with centered columns,

Y is a centered n-vector.

Hoerl and Kennard (1970) proposed that potential

instability in the LS estimator

the diagonal entries of the matrix before taking its

inverse.

Ridge regression places a particular form of constraint

on the parameters ( 's) is chosen to minimize

the penalized sum of squares:

subject to, for some c>0,

Therefore, ridge regression puts further constraints on

the parameters, j 's, in the linear model.

In this case, what we are doing is that instead of just

minimizing the residual sum of squares we also have a

penalty term on the 's.

squared norm of the vector.

This means that if the 's take on large values, the

optimization function is penalized. We would prefer to

take smaller j 's, or j 's that are close to zero to drive

the penalty term small.

Geometric Interpretation of Ridge

Regression

The ellipses correspond to the contours of residual sum

of squares (RSS): the inner ellipse has smaller RSS, and

RSS is minimized at ordinal least square (OLS)

estimates.

to a circle

Trying to minimize the ellipse size and circle

simultanously in the ridge regression.

ellipse and the circle touch.

There is a tradeoff between the penalty term and RSS.

Maybe a large would give better residual sum of

squares but then it will push the penalty term higher.

This is why smaller 's with worse residual sum of

squares are preffered.

From an optimization perspective, the penalty term is to

a constraint on the 's.

The function is still the residual sum of squares.

smaller than some constant c.

the is, the more you prefer the j's close to zero.

be doing a normal linear regression. And the other

extreme as approaches infinity, you set all the 's to

zero.

Properties of Ridge Estimator

ls is an unbiased estimator of , ridge is a biased

estimator of .

no penalization).

2. If is large, the parameters are heavily constrained

and the degrees of freedom will effectively be lower,

tending to as .

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