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讲座人Yichao Wu  教授,University of Illinois

讲座题目Can’t Ridge Regression Perform Variable Selection?

讲座时间:北京时间:2020/9/30 10:00-12:00

讲座概况Ridge regression was introduced to deal with the instability issue of the ordinary least squares estimate due to multicollinearity. It essentially penalizes the least squares loss by applying a ridge penalty on the regression coefficients. The ridge penalty shrinks the regression coefficient estimate toward zero, but not exactly zero. For this reason, the ridge regression has long been criticized of not being able to perform variable selection. In this article, we proposed a new variable selection method based on an individually penalized ridge regression, a slightly generalized version of the ridge regression. An adaptive version is also provided. Our new methods are shown to perform competitively based on simulation and a real data example.

讲座人概况Yichao Wu is TransUnion Professor at the University of Illinois at Chicago. His research interest includes statistical machine learning, dimension reduction, variable selection and screening, and functional data analysis. He is an elected fellow of ASA and IMS..

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