Timeline for Order of variable entry in LASSO
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| May 26, 2017 at 17:41 | comment | added | user795305 | @whuber thanks for the comment! I've updated the answer to be more clear. (The last time a question reported a difference in estimators that shouldn't have been, I jumped on the algorithm giving the difference--only to later find out the OP had made a mistake, so I was more hesitant this time. Thanks for including that remark.) | |
| May 26, 2017 at 17:39 | history | edited | user795305 | CC BY-SA 3.0 |
updated argument to include invariance of 1 norm
|
| May 26, 2017 at 17:11 | comment | added | whuber♦ | +1. FWIW, you're implicitly relying on the (obvious) fact that $||\beta||_1$ is invariant under reordering, too. I'm not entirely sure there was a mistake: sometimes people get alarmed at tiny differences attributable to floating point error. It's possible that reordering $X$ causes the algorithm to proceed a little differently, which could produce tiny differences in the least significant figures of the results. When people tell us they got "different results," they really haven't told us anything... . | |
| May 26, 2017 at 17:02 | history | edited | user795305 | CC BY-SA 3.0 |
added 3 characters in body
|
| May 26, 2017 at 16:54 | history | answered | user795305 | CC BY-SA 3.0 |