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Compare two different regularized regression: ridge and lasso

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Regularized regression with R package: glmnet

Learning goals:

  • Difference between ridge regression and lasso regression;
  • How to choose the optimal lambda value based on cross-validated error;
  • How to get coefficient of the best model?
  • How to split your data into training and test datasets?
  • How to compare rige regression and lasso regression based on RSS.

About

Compare two different regularized regression: ridge and lasso

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