S5E09 Regularized Variable Selection Methods
Quantitude
Regularized Variable Selection Methods: Simplifying Variables and Handling Collinearity
This chapter explores the concept of regularized variable selection methods, comparing it to Howard Wainner's approach of simplifying variables by assigning them slopes of one. It emphasizes the practicality of these methods in dealing with collinearity among variables and discusses their potential use in cases with a larger number of predictors and smaller sample sizes.
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