Shrink It

Lyrics copyright by Bradley Turnbull, Joe Usset, Sidd Roy, and Kyle White
May be sung to the tune of "Shake It" (Metro Station)

I got a beta hat and great I get a zero score.
Least squares works, but prediction's so poor.
And I was thinking of ways that I could penalize.
I need some zero values!
LASSO is what I choose!

You tune that baby up;
just the best will come back.
If prediction's all you want, OLS is on crack.
Just shrink those betas down,
then you loop it right back.
(Thank you,)
Tib-Tib Tib-Tib-shir-a-ni!!

Your betas tremble because your Xs are collinear,
and without a lambda you feel so singular.
So I was thinking of ways that I could penalize.
Makes no sense to select!
Ridge regression perfect!

Now you leave one out, then you find a Y-hat.
Then you sum them all up, yeah pick lambda like that.
Now beta's pretty small, but you like it like that.
(Come on!)

Shrink shrink, shrink shrink, shrink it!!

My beta's biased but
I kissed some variance goodbye.
My MSE is not so mean,
I guess this was worth my time?

The path ahead is sparse,
so I will look up and pray:
Oracle, please!
I can adapt and you can show me the way (way).

Now we're penalizing beta with a norm in L1
and a fan of Thomas Bayes isn't missing any fun
'cause a double exponential
and the mode can get it done, c'mon!

Tib-Tib Tib-Tib-shir-a-ni!!
Shrink shrink, shrink shrink, shrink it!!

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