Influence of single observations on the choice of the penalty parameter in ridge regression

Kristoffer H. Hellton; Camilla Lingjærde; Riccardo De Bin

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arXiv · 1911.03662

Influence of single observations on the choice of the penalty parameter in ridge regression

Kristoffer H. Hellton·Camilla Lingjærde·Riccardo De Bin

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Abstract

Penalized regression methods such as ridge regression heavily rely on the choice of a tuning or penalty parameter, which is often computed via cross-validation. Discrepancies in the value of the penalty parameter may lead to substantial differences in regression coefficient estimates and predictions. In this paper, we investigate the effect of single observations on the optimal choice of the tuning parameter, showing how the presence of influential points can change it dramatically. We distinguish between points as ``expanders'' and ``shrinkers'', based on their effect on the model complexity. Our approach supplies a visual exploratory tool to identify influential points, naturally implementable for high-dimensional data where traditional approaches usually fail. Applications to simulated and real data examples, both low- and high-dimensional, are presented. The visual tool is implemented in the R package influridge.

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Kristoffer H. Hellton, Camilla Lingjærde, Riccardo De Bin. 2019-11-09. Influence of single observations on the choice of the penalty parameter in ridge regression. https://arxiv.org/abs/1911.03662

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