【精品推荐】 岭回归 ridge regression数据统计分析PPT 课件教案讲义(获奖作品) 图文.pptx

arXiv:1509.09169v2 [stat.ME] 6 Jan 2018 Lecture notes on ridge regression Version 0.10, January 01, 2018. Wessel N. van Wieringen1,2 1 2 Department of Epidemiology and Biostatistics, VU University Medical Center P.O. Box 7057, 1007 MB Amsterdam, The Netherlands Department of Mathematics, VU University Amsterdam De Boelelaan 1081a, 1081 HV Amsterdam, The Netherlands Email: w.vanwieringen@vumc.nl License This document is distributed under the Creative Commons Attribution-NonCommercial-ShareAlike li- cense: /licenses/by-nc-sa/4.0/ Acknowledgements Mark A. van de Wiel commented on various parts of this document, thus contributing to its improvement. Disclaimer This document is a collection of many well-known results on ridge regression. The current status of the document is ‘work-in-progress’ as it is incomplete (more results from literature will be included) and it may contain inconsistencies and errors. Hence, reading and believing at own risk. Finally, proper reference to the original source may sometimes be lacking. This is regrettable and these references (if ever known to the author) will be included in later versions. Contents 1 Ridge regression 1.1 Linear regression 1.2 Ridge regression 1.3 Eigenvalue shrinkage 1.4 Moments 1.4.1 Expectation 1.4.2 Variance 1.4.3 Mean squared error 1.5 Constrained estimation 1.6 Bayesian regression 1.7 Degrees of freedom 1.8 Efficient calculation 1.9 Choice of the penalty parameter 1.9.1 Information criterion 1.9.2 Cross-validation 1.10 Simulations 1.10.1 Role of the variance of the covariates 1.10.2 Ridge regression and collinearity 1.11 Illustration 1.11.1 MCM7 expression regulation by microRNAs 1.12 Conclusion 1.13 Exercises 2 Generalized ridge regression 2.1 Moments 2.2 The Bayesian connection 2.3 Application 2.4 Generalized ridge regression 2.5 Conclusion 2.6 Exer