Bayesian Linear Regression: Ridge, Plus the Error Bars
Bayesian linear regression treats the weights as a random variable and returns their whole posterior distribution instead of one best vector. Its posterior mean is exactly the ridge solution with λ = σ²/τ²; what it adds is a covariance over the weights, an error bar on every prediction that splits into noise and model uncertainty, and a way to set λ from the training data alone.
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