updating lab version
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---
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jupyter:
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jupytext:
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cell_metadata_filter: -all
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cell_metadata_filter: language,-all
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formats: Rmd
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main_language: python
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text_representation:
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extension: .Rmd
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format_name: rmarkdown
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format_version: '1.2'
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jupytext_version: 1.19.1
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kernelspec:
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display_name: Python 3 (ipykernel)
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language: python
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name: python3
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---
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# Linear Models and Regularization Methods
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<a target="_blank" href="https://colab.research.google.com/github/intro-stat-learning/ISLP_labs/blob/v2.2/Ch06-varselect-lab.ipynb">
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<a target="_blank" href="https://colab.research.google.com/github/intro-stat-learning/ISLP_labs/blob/v2.2.1/Ch06-varselect-lab.ipynb">
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<img src="https://colab.research.google.com/assets/colab-badge.svg" alt="Open In Colab"/>
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</a>
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[](https://mybinder.org/v2/gh/intro-stat-learning/ISLP_labs/v2.2?labpath=Ch06-varselect-lab.ipynb)
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[](https://mybinder.org/v2/gh/intro-stat-learning/ISLP_labs/v2.2.1?labpath=Ch06-varselect-lab.ipynb)
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In this lab we implement many of the techniques discussed in this chapter.
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@@ -39,7 +42,7 @@ from functools import partial
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```
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We again collect the new imports
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needed for this lab. Readers will also have to have installed `l0bnb` using `pip install l0bnb`.
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needed for this lab. Readers will have installed `l0bnb` when installing the requirements.
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```{python}
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from sklearn.pipeline import Pipeline
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@@ -53,6 +56,14 @@ from l0bnb import fit_path
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```
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Using `skl.ElasticNet` to fit ridge regression
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throws up many warnings. We will suppress them below by a call to `warnings.simplefilter()`.
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```{python}
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import warnings
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warnings.simplefilter("ignore")
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```
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## Subset Selection Methods
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Here we implement methods that reduce the number of parameters in a
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model by restricting the model to a subset of the input variables.
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@@ -368,7 +379,7 @@ estimates on the original scale, we must *unstandardize*
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the coefficient estimates. The parameter
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$\lambda$ in (\ref{Ch6:ridge}) and (\ref{Ch6:LASSO}) is called `alphas` in `sklearn`. In order to
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be consistent with the rest of this chapter, we use `lambdas`
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rather than `alphas` in what follows. {At the time of publication, ridge fits like the one in code chunk [22] issue unwarranted convergence warning messages; we expect these to disappear as this package matures.}
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rather than `alphas` in what follows. {At the time of publication, ridge fits like the one in code chunk [23] issue unwarranted convergence warning messages; we suppressed these when we filtered the warnings above.}
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```{python}
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Xs = X - X.mean(0)[None,:]
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