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Jun 17th, 2019
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  1. set.seed(1)
  2. cv.out = cv.glmnet(X.train,y.train, alpha = 0, nfolds = 10, lambda = seq(0, .1, length = 15)) #cv.glmnet will create it's own lambda sequency by default
  3. plot(cv.out)
  4. best.lambda = cv.out$lambda.min
  5. best.lambda
  6. log(best.lambda)
  7.  
  8. ridge.model = glmnet(X.train, y.train, alpha = 0, nlambda = 100)
  9. ridge.pred = predict(ridge.model, s = best.lambda, newx = X.test)
  10. ridge.testmse = mean((y.test - ridge.pred)^2)
  11. predict(ridge.model, type = "coefficients", s = best.lambda)
  12. ridge.testmse
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