CAS Exam MAS-I Spring 2019, Question 28

Study guide: Exam MAS-I

Determine which one of the following statements about ridge regression is false.

A) As the tuning parameter $\lambda \to \infty$ , the coefficients tend to zero.
B) The ridge regression coefficients can be calculated by determining the coefficients $\hat{\beta}_1^R, \hat{\beta}_2^R, \ldots, \hat{\beta}_p^R$ that minimize: $\sum_{i=1}^{n}\left(y_i - \beta_0 - \sum_{j=1}^{n}\beta_j x_{ij}\right)^2 + \lambda\sum_{i=1}^{p}\beta_j^2$
C) Unlike standard least squares coefficients, ridge regression coefficients are not scale equivariant.
D) The shrinkage penalty is applied to all the coefficient estimates except for the intercept.
E) Ridge regression shrinks the coefficient estimates, which has the benefit of reducing the bias.

Concepts tested