Example: Plot Ridge coefficients as a function of the regularization

Plot Ridge coefficients as a function of the regularization

Shows the effect of collinearity in the coefficients of an estimator.

Ridge Regression is the estimator used in this example. Each color represents a different feature of the coefficient vector, and this is displayed as a function of the regularization parameter.

This example also shows the usefulness of applying Ridge regression to highly ill-conditioned matrices. For such matrices, a slight change in the target variable can cause huge variances in the calculated weights. In such cases, it is useful to set a certain regularization (alpha) to reduce this variation (noise).

When alpha is v