Re:Types of Regression Analysis
by beagle3 on Friday April 13, 2018 @04:55PM
(#16833834)
Using ridge regression (mentioned in TFA) would prefer a (1/3,1/3,1/3) average of those predictors (or a better combination, depending on their respective noises).
Using lasso (also mentioned in TFA) would prefer to pick the best of the three and drop the others.
Using elastic net would be a combination of both.
Note, though, that any method other than simple regression has tuning parameters -- depending on those, you could still end with result equivalent to plain least squares.
Using lasso (also mentioned in TFA) would prefer to pick the best of the three and drop the others.
Using elastic net would be a combination of both.
Note, though, that any method other than simple regression has tuning parameters -- depending on those, you could still end with result equivalent to plain least squares.