I have some questions about the Lasso.
- After using the AIC or BIC to select a model, the model is fit with the variables selected in order to get the standard errors of the estimates with CIs, p-values etc...
- When I use the Lasso approach, I try to do the same thing but the estimated values of the coefficients returned by the lasso are not the same as those returned by the cox model with only the variables selected by the Lasso.
If I understand the Lasso, it selects variables during the procedure estimating the coefficients, while the selection is done afterwards with the AIC. Is this right?
Here are my questions:
- Why I don't find the same values?
- Can I use the Lasso to select variables, and then fit a cox model?