Regularization Vignette
I have uploaded two videos, which together mirror a modified version of the chapter 6 coding notebook in ‘ISLP’. I have removed the parts on forward, reverse, and subset selection, and on dimensionality reduction. I’ve also added more focus on RidgeCV, which automatically implements ‘loo-cv’ and is useful for your homework. The dataset used is the ‘Hitters’ dataset from ‘ISLP’, which we have previously introduced in another coding vignette. We go through first how to use general cross-validation to select the best value of the regularization parameter, then we show how to estimate the out of sample accuracy and the uncertainty in it, and we also look at nested cross-validation.
Click below to watch the videos:
The code for the vignette can be