I am working on Lasso problem and the selection of the optimal tuning parameter with $k$-fold procedure, say $k=10$. Since this procedure relies on random subsampling, value of the optimal parameter will change each time I repeat the procedure. As an example, it can be 0.32, then 0.41, then 0.29, etc.
- Can I use repeated $k$-fold and average the results?
- How do I compute the standard error in order to use one standard rule?