Stabilizing the lasso against cross-validation variability

Roberts, Steven; Nowak, Gen

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Stabilizing the lasso against cross-validation variability

Date

2014

Authors

Roberts, Steven

Nowak, Gen

Publisher

Elsevier

Abstract

An abundance of high-dimensional data has meant that L1 penalized regression, known as the lasso, has become an indispensable tool of the practitioner. A feature of the lasso is a "tuning" parameter that controls the amount of shrinkage applied to the coe

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http://hdl.handle.net/1885/77294

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ANU Research Publications

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Computational Statistics and Data Analysis

Type

Journal article

DOI

10.1016/j.csda.2013.09.008

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2037-12-31

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Stabilizing the lasso against cross-validation variability

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