Is it possible to calculate AIC or BIC values for lasso regression models and other regularized models where parameters are only partially entering the equation. How does one determine the degrees of freedom?
I'm using R to fit lasso regression models with the
glmnet() function from the
glmnet package, and I'd like to know how to calculate AIC and BIC values for a model. In this way I might compare the values with models fit without regularization. Is this possible to do?