R workshop IX: Elastic Net, LASSO and Ridge Regression(advanced level)

Brief:

We will introduce lasso, ridge regression and elastic net regularization method which is widely used for variable selection problems.

Speaker Bio:
Yunting Sun is working on statistical modeling and experimental design for Google. Before that she was a PhD student in Statistics at Stanford University.

Preparation:
Install R packages glmnet

Agenda:

1. Intro: a quick overview of the methods, theory and use cases
2. Deep dive: walk through a few examples
3. Hack time: instructor and TA will go around and help people with their tasks or projects or answer specific questions for them.

Content:

1. Book: The elements of statistical learning Chapter 3.4 and 3.8 for Lasso and Ridge Regression

2. Paper: Regularization and variable selection via the elastic net, J. R. Statist. Soc.B (2005) for elastic net.