I ran Ridge and Lasso regressions using an algorithm to automatically find the optimum lambda.
However, the algorithm couldn’t find an optimum lambda between 0 and 1. In some cases I could find optimum lambdas that were a lot higher than 1 (sometimes 4 or 5 or even higher).
What does that exactly mean? I always read that the optimum lambda is mostly just a little higher than 0 and definitely not higher than one.
Does it mean that ridge and lasso aren’t applicable in that case?
Thx a lot in advance,
Tobias
