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penalized regression


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A method used so as to impose a desired relation on the unknown parameters. For example, if the data consist, for many locations, of annual tree growth and the twelve average monthly temperatures at those locations, then the dependence on the average April temperature should be very similar to the dependence on the average May temperature. In penalized regression the function minimized therefore includes a contribution from the parameter estimates that makes undesirable combinations unlikely.

Subjects: Probability and Statistics.


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