Correlated features when doing Linear Regression : a geometrical approach

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Goal of the document

This document aims to give a geometrical approach of what is happening when two features are correlated when applying linear regression/OLS. Indeed, we are investigating another way (formula) to compute the coefficient estimates which give us a new insight : we see directly that two highly correlated features improve the variance of the coefficient estimates associated.

Here is another way of seeing it, taking into account eigenvalues and SVD.