Open
Description
Ridge
refs
- https://arxiv.org/pdf/1509.09169.pdf
- GCV and GCVPack (probably a good place to start): http://pages.stat.wisc.edu/~wahba/stat860public/pdf1/775r.pdf
- page 22 https://elib.uni-stuttgart.de/bitstream/11682/9236/1/BA_fertig_QianKun_25072017.pdf
- slides https://www.wias-berlin.de/workshops/validation2010/workshop_slides/talk_goeman.pdf
Basically just have to minimise a criterion that can be evaluated in constant time after the first fit.
Similar stuff can be obtained for LOOCV it seems
proper refs
Logistic: https://arxiv.org/pdf/1711.05420.pdf