3 Uncertainty Quantification in Lasso-Type Regularization Problems
101
Fig. 3.9 Posterior distribution of the parameters in the Gaia dataset
Fig. 3.10 Standard errors of LASSO-based parameter estimates for the Gaia dataset, obtained
from different methods
3.5 LASSO for Classification
Recall the linear model in a row-wise notation, y i = x T
i β + i , or E(y i |x i ) = x T
i β,
which makes the implicit assumption on the distribution of the response variable:
101
Fig. 3.9 Posterior distribution of the parameters in the Gaia dataset
Fig. 3.10 Standard errors of LASSO-based parameter estimates for the Gaia dataset, obtained
from different methods
3.5 LASSO for Classification
Recall the linear model in a row-wise notation, y i = x T
i β + i , or E(y i |x i ) = x T
i β,
which makes the implicit assumption on the distribution of the response variable: