Weekly plans and update for week 38_澳门葡京手机版app下载

mhjensen
2020-09-16T15:09:32.274Z
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www.uio.no

Hi all, here comes our weekly mailing (late this week, sorry for this) with updates and summaries.

Last week we discussed and derived the expressions for shrinkage methods like Ridge and Lasso and we made an analysis in terms of the singular value decomposition of a matrix and a Bayesian approach.

We showed also that the matrix XTX is proportional to the covariance of the same matrix. This meant that for example Ridge Regression shrinks those singular values which are smallest the most (or those which have the smallest covariance). The consequence, since the variance of β is proportional to the inverse of this matrix, is that for Ridge Regression shrinks 'away' attempts at reducing the variance of those $$\beta$ values that have a large variance.

Lasso does a similar job.

This wee...