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Regularization/Coefficients Shrinkage

Motivation

Metrics to evaluate a Regression Model
  • We have so far discussed the p-value from the F-test of an ANOVA
  • What about R2 and Adj R2
  • For R2 (It is nothing but SSM/SST)
            → From the ANOVA output SST, SSM/Regression, SSE/Residual
  •  Adj R2 is nothing but: 1-[(1-R2)(n-1)/n-k-1]

Regularization Techniques

Going beyond variable selection, what about variable shrinkage
  • Multicollinearity and the potential for many forms of a regression equation
  • Y = 4A-2B  or  Y = 10A-8B
Ridge Regression 


Lasso Regression

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