LO 4.2.2.J

Learning Objective: Compare the Lasso to the Ridge regression.

Review:

• Lasso produces simpler and more interpretable models than ridge regression as it considers only a subset of the predictors.

• With reference to the figures shown below:

• The Lasso and ridge regression result in similar squared-biases.
• The variance of ridge regression is slightly lower than the variance of the Lasso. Consequently, the minimum MSE of ridge regression is slightly smaller than that of the Lasso.

Source: Assigned reading

Legenda:

• Squared-bias (black), variance (green), and test MSE (purple)
• The horizontal dashed line indicates the minimum possible MSE.
• The purple cross indicates the λ value for which the MSE is the smallest.