In R, when we use glmnet package. We use cv function as cross validation in finding the value of lambda. In the package, we will find two options in the bottom, lambda.min and lambda.1se. If I use Lasso selection, which lambda should I pick in Multinomial Logistics Regression using Lasso?
Some recommended in using lambda.1se as it is simpler and comparable to the best model. Yet, I cannot find one reliable citation.
Please help, thank you.