Advantages
- Avoids overfitting a model.
- They does not require unbiased estimators.
- They add just enough bias to make the estimates reasonably reliable approximations to true population values.
- They still perform well in cases of a large multivariate data with the number of predictors § larger than the number of observations (n).
- The ridge estimator is preferably good at improving the least-squares estimate when there is multicollinearity.
Disadvantages
- They include all the predictors in the final model.
- They are unable to perform feature selection.
- They shrink the coefficients towards zero.
- They trade the variance for bias.