I like it. Can you code the "Linear Regression with Regularization" by the same author?
I've tried but failed. The book has examples on the use of REMA but not on the use of the regularized linear regression, so I don't know if it worths the trouble.
@everget, I'm still interested on the Linear Regression with Regularization
Chris Satchwell book PATTERN RECOGNITION AND TRADING DECISIONS pages 193 and 194, have you plans to do it soon?
I've tried but failed. The book has examples on the use of REMA but not on the use of the regularized linear regression, so I don't know if it worths the trouble.