Re: [scikit-learn] Why ridge regression can solve multicollinearity?
Just for convenience: Marquardt, Donald W., and Ronald D. Snee. "Ridge regression in practice." *The > American Statistician* 29, no. 1 (1975): 3-20. > https://amstat.tandfonline.com/doi/abs/10.1080/00031305.1975.10479105 ___ scikit-learn mailing list scikit-learn@python.org https://mail.python.org/mailman/listinfo/scikit-learn
Re: [scikit-learn] Why ridge regression can solve multicollinearity?
On Wed, Jan 8, 2020 at 9:43 PM wrote: > > > On Wed, Jan 8, 2020 at 9:38 PM lampahome wrote: > >> >> >> Stuart Reynolds 於 2020年1月9日 週四 上午10:33寫道: >> >>> Correlated features typically have the property that they are tending to >>> be similarly predictive of the outcome. >>> >>> L1 and L2 are both a preference for low coefficients. >>> If a coefficient can be reduced yet another coefficient maintains >>> similar loss, the these regularization methods prefer this solution. >>> If you use L1 or L2, you should mean and variance normalize your >>> features. >>> >>> >> You mean LASSO and RIDGE both solve multilinearity? >> > > LASSO has the reputation not to be good when there is multicollinearity, > that's why elastic net L1 + L2 was introduced, AFAIK > > With multicollinearity the length of the parameter vector, beta' beta, is > too large and L2, Ridge shrinks it. > e.g. Marquardt, Donald W., and Ronald D. Snee. "Ridge regression in practice." *The American Statistician* 29, no. 1 (1975): 3-20. I just went through it last week because of a argument about variance inflation factor in Ridge > > Josef > > > >> >> ___ >> scikit-learn mailing list >> scikit-learn@python.org >> https://mail.python.org/mailman/listinfo/scikit-learn >> > ___ scikit-learn mailing list scikit-learn@python.org https://mail.python.org/mailman/listinfo/scikit-learn
Re: [scikit-learn] Why ridge regression can solve multicollinearity?
On Wed, Jan 8, 2020 at 9:38 PM lampahome wrote: > > > Stuart Reynolds 於 2020年1月9日 週四 上午10:33寫道: > >> Correlated features typically have the property that they are tending to >> be similarly predictive of the outcome. >> >> L1 and L2 are both a preference for low coefficients. >> If a coefficient can be reduced yet another coefficient maintains similar >> loss, the these regularization methods prefer this solution. >> If you use L1 or L2, you should mean and variance normalize your features. >> >> > You mean LASSO and RIDGE both solve multilinearity? > LASSO has the reputation not to be good when there is multicollinearity, that's why elastic net L1 + L2 was introduced, AFAIK With multicollinearity the length of the parameter vector, beta' beta, is too large and L2, Ridge shrinks it. Josef > > ___ > scikit-learn mailing list > scikit-learn@python.org > https://mail.python.org/mailman/listinfo/scikit-learn > ___ scikit-learn mailing list scikit-learn@python.org https://mail.python.org/mailman/listinfo/scikit-learn
Re: [scikit-learn] Why ridge regression can solve multicollinearity?
Stuart Reynolds 於 2020年1月9日 週四 上午10:33寫道: > Correlated features typically have the property that they are tending to > be similarly predictive of the outcome. > > L1 and L2 are both a preference for low coefficients. > If a coefficient can be reduced yet another coefficient maintains similar > loss, the these regularization methods prefer this solution. > If you use L1 or L2, you should mean and variance normalize your features. > > You mean LASSO and RIDGE both solve multilinearity? ___ scikit-learn mailing list scikit-learn@python.org https://mail.python.org/mailman/listinfo/scikit-learn
Re: [scikit-learn] Why ridge regression can solve multicollinearity?
Correlated features typically have the property that they are tending to be similarly predictive of the outcome. L1 and L2 are both a preference for low coefficients. If a coefficient can be reduced yet another coefficient maintains similar loss, the these regularization methods prefer this solution. If you use L1 or L2, you should mean and variance normalize your features. On Wed, Jan 8, 2020 at 6:24 PM lampahome wrote: > I find out many blogs said that the l2 regularization solve > multicollinearity, but they don't said how it works. > > I thought LASSO is able to select features by l1 regularization, maybe it > also can solve this. > > Can anyone tell me how ridge works with multicollinearity great? > > thx > ___ > scikit-learn mailing list > scikit-learn@python.org > https://mail.python.org/mailman/listinfo/scikit-learn > ___ scikit-learn mailing list scikit-learn@python.org https://mail.python.org/mailman/listinfo/scikit-learn
[scikit-learn] Why ridge regression can solve multicollinearity?
I find out many blogs said that the l2 regularization solve multicollinearity, but they don't said how it works. I thought LASSO is able to select features by l1 regularization, maybe it also can solve this. Can anyone tell me how ridge works with multicollinearity great? thx ___ scikit-learn mailing list scikit-learn@python.org https://mail.python.org/mailman/listinfo/scikit-learn