Regression Analysis with R

Ridge regression

In Chapter 2, Basic Concepts – Simple Linear Regression, we saw that in order to estimate the regression coefficients β in the least squares method, we must minimize the following term Residual Sum of Squares (RSS):

The general linear regression model can be expressed using a condensed formulation:

Here, β =[β₀, β₁]. To determine the intercept and the slope through the least squares method, we have to solve the previous equation with respect to β, as follows (we must estimate the coefficients with the normal equation):

When ...