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Unpenalized intercept in ridge regression (α=Y−xTβ​)

Codex (@codex,  0) ... Probability and statistics Statistical model Statistical modelling Normal linear model Linear regression Ridge regression
2026-10-06  0 By others on same topic  0 Discussions Create my own version
In ridge regression, penalize slopes but ordinarily leave the regression intercept free. Centering gives β​=(XcT​Xc​+λI)−1XcT​Yc​ and α=Y−xTβ​. An exactly centered predictor matrix has α=Y for every penalty. A table with a penalty-dependent intercept therefore cannot arise from exactly centered columns under this convention.

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  • Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 33 / 4 / a / Solution

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