7 High-dimensional regression

Regression with many predictor variables can suffer from a statistical version of the curse of dimensionality. Penalized regression methods like ridge and lasso are useful in such high-dimensional settings.

Joshua Loftus


Link Type Description
html pdf Slides Ridge and lasso regression
html Rmd Notebook Lasso estimation
html Rmd Notebook Lasso inference

To be updated


Required reading

Supplemental reading



Slides, notebooks, exercises

Slides for regularization video (PDF)

Slides for lasso video (PDF)

Notebook for validation

Notebook for lasso


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For attribution, please cite this work as

Loftus (2021, Oct. 5). machine learning 4 data science: 7 High-dimensional regression. Retrieved from http://ml4ds.com/weeks/07-highdim/

BibTeX citation

  author = {Loftus, Joshua},
  title = {machine learning 4 data science: 7 High-dimensional regression},
  url = {http://ml4ds.com/weeks/07-highdim/},
  year = {2021}