Question: Show that the ridge regression estimator can be computed as least squares applied to an augmented data set. Take the original data (Y ,X ).

Show that the ridge regression estimator can be computed as least squares applied to an augmented data set. Take the original data (Y ,X ). Add p 0’s to Y and p rows of p

¸I p to X , apply least squares, and show that this equals b¯ridge.

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