statsmodels.regression.linear_model.OLS.fit_regularized
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OLS.fit_regularized(method='elastic_net', alpha=0.0, L1_wt=1.0, start_params=None, profile_scale=False, refit=False, **kwargs)
[source]
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Return a regularized fit to a linear regression model.
Parameters: |
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method (string) – Only the ‘elastic_net’ approach is currently implemented.
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alpha (scalar or array-like) – The penalty weight. If a scalar, the same penalty weight applies to all variables in the model. If a vector, it must have the same length as
params , and contains a penalty weight for each coefficient. -
L1_wt (scalar) – The fraction of the penalty given to the L1 penalty term. Must be between 0 and 1 (inclusive). If 0, the fit is a ridge fit, if 1 it is a lasso fit.
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start_params (array-like) – Starting values for
params . -
profile_scale (bool) – If True the penalized fit is computed using the profile (concentrated) log-likelihood for the Gaussian model. Otherwise the fit uses the residual sum of squares.
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refit (bool) – If True, the model is refit using only the variables that have non-zero coefficients in the regularized fit. The refitted model is not regularized.
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distributed (bool) – If True, the model uses distributed methods for fitting, will raise an error if True and partitions is None.
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generator (function) – generator used to partition the model, allows for handling of out of memory/parallel computing.
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partitions (scalar) – The number of partitions desired for the distributed estimation.
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threshold (scalar or array-like) – The threshold below which coefficients are zeroed out, only used for distributed estimation
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Returns: |
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Return type: |
A RegularizedResults instance. |
Notes
The elastic net approach closely follows that implemented in the glmnet package in R. The penalty is a combination of L1 and L2 penalties.
The function that is minimized is:
\[0.5*RSS/n + alpha*((1-L1\_wt)*|params|_2^2/2 + L1\_wt*|params|_1)\]
where RSS is the usual regression sum of squares, n is the sample size, and \(|*|_1\) and \(|*|_2\) are the L1 and L2 norms.
For WLS and GLS, the RSS is calculated using the whitened endog and exog data.
Post-estimation results are based on the same data used to select variables, hence may be subject to overfitting biases.
The elastic_net method uses the following keyword arguments:
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maxiter : int
- Maximum number of iterations
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cnvrg_tol : float
- Convergence threshold for line searches
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zero_tol : float
- Coefficients below this threshold are treated as zero.
References
Friedman, Hastie, Tibshirani (2008). Regularization paths for generalized linear models via coordinate descent. Journal of Statistical Software 33(1), 1-22 Feb 2010.