Explain ridge regression, Applied Statistics

Assignment Help:

Using log(x1), log(x2) and log(x3) as the predictors, do pair wise scatterplots of all pairs of variables (including the response) and comment (use the pairs function). Do you think that multi collinearity might be a problem with these data?

Plot the ridge trace for a grid of 50 values for the shrinkage parameter  over the range [0; 1]. Based on this plot suggest a reasonable value for . Find the estimates of the coecients for a ridge re gression with your chosen value of  (using centred and scaled predictors).

(The following question is based on Exercise 8.5 of Myers (1990), Classical and Modern Regression with Applications (Second Edition)," Duxbury).

With centred and scaled predictor variables, the ridge regression estimator for the coecients of the predictors is where y is the vector of responses, X is the design matrix for the centred and scaled predictors, is

1709_basic linear models.png

the shirnkage parameter and I denotes the identity matrix. We write n for the number of observations and k for the number of predictors. Writing biR for the ith component of bR, we will prove in this question that where 2 is the variance of the responses, and vi, i = 1,.......k are the eigenvalues of XTX. The di erent parts of the question below lead you through the proof.

735_basic linear models1.png

(a) Write XTX = QDQT for the eigenvalue decomposition of XTX, where D = diag(v1,........vk) is the diagonal matrix of eigenvalues and Q is an orthogonal matrix (QTQ = I) where the columns are the eigenvectors of XTX. Show that XTX +I = Q(D+I)QT .

2344_basic linear models2.png

where V ar(bR) denotes the covariance matrix of bR. (Hint: recall the result from basic linear models that if Y is a k  1 random vector with V ar(Y ) = V and if A is a k  k matrix and Z = AY then V ar(Z) = AV AT ).


Related Discussions:- Explain ridge regression

Pneumatic actuator design matrix, Pneumatic Actuator Design Matrix: The ra...

Pneumatic Actuator Design Matrix: The range of actuator design parameters have been provisionally assessed and are presented in Table. You are required to determine the following

Bernoulli''s theorem, Bernoulli's Theorem If a trial of an experiment c...

Bernoulli's Theorem If a trial of an experiment can result in success  with probability p and failure with probability q (i.e.1-p) the probability of exactly r success in n tri

Statistical generalisations, From the information given, what seems to be t...

From the information given, what seems to be the main flaw in each of the following statistical generalisations? (i) Banking industry employees are facing a crisis, if their

QUARTILE DEVIATION, Examples of grouped, simple and frequency distribution ...

Examples of grouped, simple and frequency distribution data

What is the p-value, Use the information given below to find the P-value. ...

Use the information given below to find the P-value. Also, use a 0.05 significance level and state the conclusion about the null hypothesis (reject the null hypothesis or fail to

Level process control lab, Based on the following graphs (next page) you sh...

Based on the following graphs (next page) you should write a discussion report (2 pages) on: 1. Determination of whether the open-loop system response is consistent with a 1st o

Case # 2 , Case Problem: A Bipartisan Agenda for Change In a study conducte...

Case Problem: A Bipartisan Agenda for Change In a study conducted by Zogby International, more than 700 New Yorkers were polled to determine whether the New York state government w

Correlation, Definition of Correlation According  to prof, king correla...

Definition of Correlation According  to prof, king correlation means that between two series or group  of data  there  exists  some casual connection  prof, king  has also  exp

Ogive percentile, how do i determine the 40th percentile in an ogive graph

how do i determine the 40th percentile in an ogive graph

Perform a dimensional analysis for the quantities, Show how the Normal bin ...

Show how the Normal bin width rule can be modi ed if f is skewed or kurtotic. Examine the eff ect of bimodality. Compare your rules to Doane's (1976) extensions of Sturges' rule.

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd