Lasso handling multiple variables
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I would like to solve an equation that goes like this:
Y=aX1+bX2+cX3
for a huge matrix of X1,X2,X3 and Y solving for the coefficients of a,b and c. The lasso and other regularization methods are typically designed for vector input or 2 matrices with the same number of rows and columns. Does anyone has a way around it? this will be extremely useful. Using typical inverse method of d=GM causes over-fitting
Thank you. Your help is highly appreciated!
2 Commenti
the cyclist
il 9 Mar 2014
I'm confused. What are your variables like? If they are not of the same length, is it because you are missing values?
Please add more detail, and better descriptions of the variables you have. Remember, we only know the facts that you choose to share with us. Don't make us guess, which just wastes everyone's time.
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