Archive for October, 2011  Occupy Wall Street flyer  Categories:
#OWS, finance, news, rant  Bayesian regressions (part 2)  In my
first post about Bayesian regressions, I mentioned that you can
enforce a prior about the size of the coefficients by fiddling
with the diagonal elements of the prior covariance matrix. I
want to go back to that since it’s a key point.  Recall the
covariance matrix represents the covariance of the coefficients,
so those diagonal elements correspond to the variance of the
coefficients themselves, which is a natural proxy for their
size.  For example, you may just want to make sure the
coefficients don’t get too big, or in other words there’s a
penalty for large coefficients. Actually there’s a name for just
having this prior, and it’s called L2 regularization. You just
set the prior to be P = \lambda I, where I is the identity
matrix, and \lambda is a tuning parameter- you can set the
strength of the prior by turning \lambdaup to eleven“.  You’re
going to end up adding this prior to