Summary
In this chapter, we have introduced the reader to the most important concepts concerning linear models and regressions. In the first part, we discussed the features of a GLM, focusing attention on how to fit the models and how to avoid the most common problems.
We also analyzed how to include regularization penalties through ridge and lasso regressions and how it's possible to exploit the linear framework also when the dataset is non-linear through an appropriate polynomial transformation. We also compared the results with the one obtained using an isotonic regression and we analyzed the reasons for preferring either the former or the latter. Another important topic discussed in the chapter is risk modeling using logistic regression penalized with lasso to perform an automatic feature selection.
In the next chapter, we start discussing the basic concepts and of time-series analysis, focusing on the properties on the most important models (ARMA and ARIMA) that are...