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STA302 (Variable Selection (PCA (collinearity, project onto lower…
STA302
Variable Selection
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BIC log(n)p - 2l (more penalty on large number of variables) stronger penalty for number of parameters
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PCA
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project onto lower dimension space while keeping maximum variance by keeping ones with corresponding eigen values maxed. In practice 80% of eigen values should be present
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Lasso: L1 norm
diamond: no closed form since penalty is non convex, its quadratic programming
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good: because of nature of the constraint (L1 norm), making penalty large naturally kills some parameters
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