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Fundamentals of Predictive Analytics with JMP, Second Edition by B. D. McCullough, Ron Klimberg

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Chapter 8: Least Absolute Shrinkage and Selection Operator and Elastic Net

Introduction

The Importance of the Bias-Variance Tradeoff

Ridge Regression

Least Absolute Shrinkage and Selection Operator

Perform the Technique

Examine the Results

Refine the Results

Elastic Net

Perform the Technique

Examine the Results

Compare with LASSO

Exercises

Introduction

In Chapter 5, you learned about stepwise regression, which is a method to select a few from many possible regressors for inclusion in a regression equation. In this chapter, you will learn two more such methods: least absolute shrinkage and selection operator (LASSO) and elastic net, which take a different approach to reducing the number of regressors.

As shown in the multivariate analysis framework ...

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