We will introduce lasso, ridge regression and elastic net regularization method which is widely used for variable selection problems.
Yunting Sun is working on statistical modeling and experimental design for Google. Before that she was a PhD student in Statistics at Stanford University.
Install R packages glmnet
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.
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.