Show that both coefficients are identical

Reference no: EM131045247

Suppose we run a ridge regression with parameter λ on a single variable X, and get coefficient a. We now include an exact copy X∗ = X, and refit our ridge regression. Show that both coefficients are identical, and derive their value. Show in general that if m copies of a variable Xj are included in a ridge regression, their coefficients are all the same.

Reference no: EM131045247

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