From Math to Code: Building GAM with Penalty Functions From Scratch
Enjoyed learning penalized GAM math. Built penalty matrices, optimized λ using GCV, and implement our own GAM function. Confusing? Yes! Rewarding? Oh yes!
Enjoyed learning penalized GAM math. Built penalty matrices, optimized λ using GCV, and implement our own GAM function. Confusing? Yes! Rewarding? Oh yes!
It was enjoyable to visualize the non-linear relationship with interaction and observe the corresponding changes in CATE. If one understands the underlying equation, it’s possible to easily obtain the ATE using calculus. Lastly, adopting Richard McElreath’s Owl framework as a documented procedure ensures quality assurance! 🙌