ISLR Chapter 06 Notes - Linear Model Selection and Regularization

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p203

Topics Covered

• Subset Selection
  • Best Subset Selection
  • Forward Stepwise Selection
  • Backward Stepwise Selection p208
• Shrinkage Methods
  • Ridge Regression
  • Lasso
• Dimension Reduction Methods
  • Principal Components Regression
  • Partial Least Squares

Choosing the Optimal Model

Shrinkage Methods

Ridge Regression

Why Does Ridge Regression Improve Over Least Squares? p217

Bayesian Interpretation for Ridge Regression and the Lasso

p226

Selecting the Tuning Parameter

Dimension Reduction Methods