ABy Admin
Jun 24'23

Exercise

This exercise is freely rendered from [1], but can be found in many other places. The original source is unknown to the author.

Show that the ridge regression estimator can be obtained by ordinary least squares regression on an augmented data set. Hereto augment the matrix [math]\mathbf{X}[/math] with [math]p[/math] additional rows [math]\sqrt{\lambda} \mathbf{I}_{pp}[/math], and augment the response vector [math]\mathbf{Y}[/math] with [math]p[/math] zeros.

  1. Hastie, T., Friedman, J., and Tibshirani, R. (2009).The Elements of Statistical Learning.Springer