LO 4.2.2.B

Learning Objective: Define l2 norm and scale equivalent.

Review:

• l2 norm (pronounced “elle” 2) of a vector is defined as

• Scale equivalent

The estimated coefficients  𝛽j of the standard least-squares regression are scale equivariant/equivalent, that is,  multiplying Xj by a constant c simply leads to a scaling of the least-squares coefficient estimates 𝛽j by a factor of 1/c.