Engineering Alpha

Engineering Alpha

Let’s Use Ridge Regression to Predict Time Series

Using Python to Predict Time Series With Ridge Regression

Sofien Kaabar, CFA's avatar
Sofien Kaabar, CFA
Feb 26, 2024
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Ridge regression is a regression technique that adds a penalty term to the traditional linear regression model, aiming to prevent overfitting by shrinking the coefficients of the predictors towards zero. This regularization helps to handle multicollinearity and stabilize the estimates, making the model more robust, especially when dealing with datasets …

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