CAS Exam MAS-I Fall 2019, Question 36

Study guide: Exam MAS-I

You are given the following three statements regarding shrinkage methods in linear regression:

• I. As tuning parameter, \lambda, increases towards \infty, the penalty term has no effect and a ridge regression will result in the unconstrained estimates.
• II. For a given dataset, the number of variables in a lasso regression model will always be greater than or equal to the number of variables in a ridge regression model.
• III. The issue of selecting a tuning parameter for a ridge regression can be addressed with cross-validation.

Determine which of the above statements are true.

• A) I only
• B) II only
• C) III only
• D) I, II and III
• E) The answer is not given by (A), (B), (C) or (D)

Answer this question and see the worked solution

Concepts tested

• Regularization
• Cross-Validation
• Variable Selection

More questions from this set

• CAS Exam MAS-I Fall 2019, Question 35
• CAS Exam MAS-I Fall 2019, Question 37