most citedBayes beats Cross Validation: Efficient and Accurate Ridge Regression via Expectation Maximization

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stat.ML2023★ 1 cited

Bayes beats Cross Validation: Efficient and Accurate Ridge Regression via Expectation Maximization

Shu Yu Tew, Mario Boley, Daniel F. Schmidt

We present a novel method for tuning the regularization hyper-parameter, , of a ridge regression that is faster to compute than leave-one-out cross-validation (LOOCV) while yiel…