Statistics Seminar - Zdravko Botev - UNSW

A seminar by Dr Zdravko Botev from the University of New South Wales

Title: On the choice of the regularization parameter in ridge regression

Abstract: In this talk we consider new formulas and results about the choice of the regularization parameter in the simple linear regression model. We quantify the effect of collinearity on the accuracy of both in-sample predictions and the estimator of the regression coefficients. We also suggest ways to generalize ridge regression using multiple regularization parameters and explore its practical benefits.

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