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Assume y=Xβ+ε Goal: Minimize the sum of the squares of the residuals. However, you don't want...
Assume y=Xβ+ε
Goal: Minimize the sum of the squares of the residuals. However, you don't want beta-hat to be too "big"
Therefore, minimize: (y-X(beta-hat))T(y-X(beta-hat))+λ(beta-hat)T(beta-hat)
Solve for (beta-hat)λ
Hint: Think of (XTX)-1 as a simple diagonal matrix
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Assume y=Xβ+ε
Goal: Minimize the sum of the squares of the residuals. However,
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