Regularization

On the equivalency between frequentist Ridge (and LASSO) regression and hierarchial Bayesian regression

Introduction In this post, we will explore frequentist and Bayesian analogues of regularized/penalized linear regression models (e.g., LASSO [L1 penalty], Ridge regression [L2 penalty]), which are an extention of traditional linear regression models of the form:

May 6, 2019 28 min read Statistical Modeling