3 ms·

Personally I consider the lack of scale-invariance one of the main drawbacks of most common regularizers too. Again, not a big deal if all you're after are y-ha

by em500 6y ago

Personally I consider the lack of scale-invariance one of the main drawbacks of most common regularizers too. Again, not a big deal if all you're after are y-hat, a bit more concerning if you're interested in beta-hat.

autokad 6y ago
i try not to stick too religiously to coefficient interpretation unless its a very simple and known problem. one missing variable could change the coefficients sign.
- zwaps 6y ago
  Depends on whether the missing variable is correlated with the beta hats you care about ;-)