Bertille Picard

Empirical & Econometric Methods Session

Bertille Picard

AMSE
Bayesian connection to LASSO and Ridge regression
Venue

IBD Salle 23

Îlot Bernard du Bois - Salle 23

AMU - AMSE
5-9 boulevard Maurice Bourdet
13001 Marseille

Date(s)
Monday, February 21 2022| 3:00pm
Contact(s)

Julieta Peveri: julieta.peveri[at]univ-amu.fr
Bertille Picard: bertille.picard[at]univ-amu.fr
Mathias Silva: mathias.silva-vazquez[at]univ-amu.fr

Abstract

Imagine the following situation: you have a large database with a very large number of characteristics on your individuals. You would like to select the most relevant ones in a data-driven way and you are thinking about implementing a linear regression with variable selection. You hesitate between a LASSO and a Ridge, and you realize that you do not understand the difference between both. This seminar takes you to the frontier of machine learning and bayesian statistics to get a clearer picture - this session requires no previous knowledge in these areas.