updating typos
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@@ -2,7 +2,7 @@
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"cells": [
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{
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"cell_type": "markdown",
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"id": "cfebae03",
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"id": "1ff4a4e9",
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"metadata": {
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"editable": true
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@@ -14,7 +14,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "353ebb07",
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"id": "0569f7a9",
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"metadata": {
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"editable": true
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@@ -27,25 +27,34 @@
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},
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{
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"cell_type": "markdown",
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"id": "c02815dd",
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"id": "6f34e507",
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"metadata": {
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"editable": true
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},
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"source": [
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"## Overarching aims of the exercises this week\n",
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"\n",
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"This exercise deals with various mean values and variances in linear regression method (here it may be useful to look up chapter 3, equation (3.8) of [Trevor Hastie, Robert Tibshirani, Jerome H. Friedman, The Elements of Statistical Learning, Springer](https://www.springer.com/gp/book/9780387848570)). The exercise is also a part of project 1 and can be reused in the theory part of the project.\n",
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"This exercise deals with various mean values and variances in linear\n",
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"regression method (here it may be useful to look up chapter 3,\n",
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"equation (3.8) of [Trevor Hastie, Robert Tibshirani, Jerome\n",
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"H. Friedman, The Elements of Statistical Learning,\n",
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"Springer](https://www.springer.com/gp/book/9780387848570)). The\n",
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"exercise is also a part of project 1 and can be reused in the theory\n",
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"part of the project.\n",
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"\n",
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"For more discussions on Ridge regression and calculation of expectation values, [Wessel van Wieringen's](https://arxiv.org/abs/1509.09169) article is highly recommended.\n",
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"For more discussions on Ridge regression and calculation of\n",
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"expectation values, [Wessel van\n",
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"Wieringen's](https://arxiv.org/abs/1509.09169) article is highly\n",
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"recommended.\n",
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"\n",
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"The assumption we have made is \n",
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"that there exists a continuous function $f(\\boldsymbol{x})$ and a normal distributed error $\\boldsymbol{\\varepsilon}\\sim N(0, \\sigma^2)$\n",
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"which describes our data"
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"The assumption we have made is that there exists a continuous function\n",
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"$f(\\boldsymbol{x})$ and a normal distributed error $\\boldsymbol{\\varepsilon}\\sim N(0,\n",
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"\\sigma^2)$ which describes our data"
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]
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},
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{
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"cell_type": "markdown",
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"id": "fb152043",
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"id": "3ff574a4",
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"metadata": {
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"editable": true
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},
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@@ -57,7 +66,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "9aba7a46",
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"id": "096a3165",
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"metadata": {
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"editable": true
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},
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@@ -68,7 +77,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "be52c097",
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"id": "cc9fb258",
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"metadata": {
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"editable": true
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},
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@@ -80,7 +89,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "c54979e5",
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"id": "daf4eb5d",
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"metadata": {
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"editable": true
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},
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@@ -90,7 +99,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "4b1eb811",
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"id": "3b491679",
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"metadata": {
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"editable": true
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},
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@@ -102,7 +111,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "036a5440",
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"id": "93a49739",
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"metadata": {
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"editable": true
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},
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@@ -114,7 +123,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "f7fb8094",
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"id": "a3fa80db",
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"metadata": {
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"editable": true
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},
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@@ -125,7 +134,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "d7d92995",
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"id": "e6e2defd",
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"metadata": {
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"editable": true
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},
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@@ -137,7 +146,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "29eb9701",
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"id": "9aa19afa",
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"metadata": {
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"editable": true
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},
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@@ -150,7 +159,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "aa106511",
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"id": "5fa82a47",
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"metadata": {
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"editable": true
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},
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@@ -162,7 +171,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "58be1091",
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"id": "33099abb",
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"metadata": {
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"editable": true
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},
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@@ -172,7 +181,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "4cb58e41",
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"id": "5d03f001",
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"metadata": {
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"editable": true
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},
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@@ -184,7 +193,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "a04df28d",
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"id": "94bd151d",
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"metadata": {
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"editable": true
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},
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@@ -195,7 +204,7 @@
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},
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{
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"cell_type": "markdown",
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"id": "c095c96a",
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"id": "f0b84941",
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"metadata": {
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"editable": true
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},
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@@ -207,20 +216,20 @@
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},
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{
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"cell_type": "markdown",
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"id": "5d425a79",
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"id": "60370a63",
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"metadata": {
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"editable": true
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},
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"source": [
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"$$\n",
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"\\mathbb{E} \\big[ \\boldsymbol{\\beta}^{\\mathrm{Ridge}} \\big]=(\\mathbf{X}^{T} \\mathbf{X} + \\lambda \\mathbf{I}_{pp})^{-1} (\\mathbf{X}^{\\top} \\mathbf{X})\\\n",
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"\\mathbb{E} \\big[ \\hat{\\boldsymbol{\\beta}}^{\\mathrm{Ridge}} \\big]=(\\mathbf{X}^{T} \\mathbf{X} + \\lambda \\mathbf{I}_{pp})^{-1} (\\mathbf{X}^{\\top} \\mathbf{X})\\\n",
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"\\boldsymbol{\\beta}^{\\mathrm{OLS}}.\n",
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"$$"
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]
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},
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{
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"cell_type": "markdown",
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"id": "fb89cfab",
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"id": "af251217",
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"metadata": {
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"editable": true
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},
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@@ -233,19 +242,19 @@
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},
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{
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"cell_type": "markdown",
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"id": "aea8801c",
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"id": "02e978da",
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"metadata": {
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"editable": true
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},
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"source": [
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"$$\n",
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"\\mbox{Var}[\\boldsymbol{\\beta}^{\\mathrm{Ridge}}]=\\sigma^2[ \\mathbf{X}^{T} \\mathbf{X} + \\lambda \\mathbf{I} ]^{-1} \\mathbf{X}^{T}\\mathbf{X} \\{ [ \\mathbf{X}^{\\top} \\mathbf{X} + \\lambda \\mathbf{I} ]^{-1}\\}^{T},\n",
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"\\mbox{Var}[\\hat{\\boldsymbol{\\beta}}^{\\mathrm{Ridge}}]=\\sigma^2[ \\mathbf{X}^{T} \\mathbf{X} + \\lambda \\mathbf{I} ]^{-1} \\mathbf{X}^{T}\\mathbf{X} \\{ [ \\mathbf{X}^{\\top} \\mathbf{X} + \\lambda \\mathbf{I} ]^{-1}\\}^{T},\n",
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"$$"
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]
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},
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{
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"cell_type": "markdown",
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"id": "0e885693",
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"id": "3656a896",
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"metadata": {
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"editable": true
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},
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