Bertille Picard

Empirical & Econometric Methods Session

Bertille Picard

Bayesian connection to LASSO and Ridge regression

IBD Salle 23

Îlot Bernard du Bois - Salle 23

5-9 boulevard Maurice Bourdet
13001 Marseille

Lundi 21 février 2022| 15:00

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


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.