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typo in exercise 2

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Morten Hjorth-Jensen
2023-09-13 11:14:10 +02:00
parent 777c5e79a0
commit 5f89e9d242
7 changed files with 78 additions and 83 deletions
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doc/LectureNotes/_build/html/exercisesweek37.html
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@@ -497,17 +497,16 @@ A given parameter <span class="math notranslate nohighlight">\(\beta_j\)</span>
<p>Show that</p>
<div class="math notranslate nohighlight">
\[
\mathbb{E} \big[ \hat{\boldsymbol{\beta}}^{\mathrm{Ridge}} \big]=(\mathbf{X}^{T} \mathbf{X} + \lambda \mathbf{I}_{pp})^{-1} (\mathbf{X}^{\top} \mathbf{X})\
\boldsymbol{\beta}^{\mathrm{OLS}}.
\mathbb{E} \big[ \hat{\boldsymbol{\beta}}^{\mathrm{Ridge}} \big]=(\mathbf{X}^{T} \mathbf{X} + \lambda \mathbf{I}_{pp})^{-1} (\mathbf{X}^{\top} \mathbf{X})\boldsymbol{\beta}.
\]</div>
<p>We see clearly that
<span class="math notranslate nohighlight">\(\mathbb{E} \big[ \boldsymbol{\beta}^{\mathrm{Ridge}} \big] \not= \boldsymbol{\beta}^{\mathrm{OLS}}\)</span> for any <span class="math notranslate nohighlight">\(\lambda &gt; 0\)</span>.</p>
<span class="math notranslate nohighlight">\(\mathbb{E} \big[ \hat{\boldsymbol{\beta}}^{\mathrm{Ridge}} \big] \not= \mathbb{E} \big[\hat{\boldsymbol{\beta}}^{\mathrm{OLS}}\big ]\)</span> for any <span class="math notranslate nohighlight">\(\lambda &gt; 0\)</span>.</p>
<p>Show also that the variance is</p>
<div class="math notranslate nohighlight">
\[
\mbox{Var}[\hat{\boldsymbol{\beta}}^{\mathrm{Ridge}}]=\sigma^2[ \mathbf{X}^{T} \mathbf{X} + \lambda \mathbf{I} ]^{-1} \mathbf{X}^{T}\mathbf{X} \{ [ \mathbf{X}^{\top} \mathbf{X} + \lambda \mathbf{I} ]^{-1}\}^{T},
\]</div>
<p>and it is easy to see that if the parameter <span class="math notranslate nohighlight">\(\lambda\)</span> goes to infinity then the variance of Ridge parameters <span class="math notranslate nohighlight">\(\boldsymbol{\beta}\)</span> goes to zero.</p>
<p>and it is easy to see that if the parameter <span class="math notranslate nohighlight">\(\lambda\)</span> goes to infinity then the variance of the Ridge parameters <span class="math notranslate nohighlight">\(\boldsymbol{\beta}\)</span> goes to zero.</p>
</div>
</div>