# Questions tagged [lasso]

A regularization method for regression models that shrinks coefficients towards zero, making some of them equal to zero. Thus lasso performs feature selection.

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### Standardization vs. Normalization for Lasso/Ridge Regression

I am aware it is common practice to standardize the features for ridge and lasso regression, however, would it ever be more practical to normalize the features on a (0,1) scale as an alternative to z-...
468 views

### Asymptotic property of tuning parameter in penalized regression

I'm currently working on asymptotic properties of penalized regression. I've read a myriad of papers by now, but there is an essential issue that I cannot get my head around. To keep things simple, I'...
491 views

### Can Frank Harrell's method be used to obtain optimism-corrected regression coefficients?

I used a regularized (LASSO) Cox regression to estimate relapse times of patients and used Frank Harrell's bootstrapping method to obtain an optimism-corrected performance estimate of my model. ...
1k views

### Selecting regularization penalty: cross validation or information criteria?

I will use an elastic net to estimate a regression model which will later be used for forecasting. I have a grid of $\alpha$ values within [0,1] representing the proportion of $L_1$ versus $L_2$ ...
722 views

### Lasso for GEE model

Can a LASSO be applied for predictor selection in a logistic GEE (generalized estimating equations) model for longitudinal data? Is there an implementation of LASSO for a logistic GEE model for ...
900 views

### Dantzig Selector, LASSO, LAD LASSO

I am wondering about this. When is it best to use Dantzig Selector (the infinity normed error measure plus the L1 regularizer) , the LASSO (the mean square error measure plus the L1 regularizer), and ...
165 views

### Asymptotic bias of LASSO vs. none of SCAD

I am reading a paper which says that LASSO is asymptotically biased while SCAD is not. I take asymptotic (un)biasedness to concern the slope estimators from LASSO and SCAD as the sample size goes to ...
833 views

### Geometrical interpretation of L1 regression

I have found the following image (or a similar version) in a lot of books related to penalized linear models. I get the insight of this image. The ellipsoids are the solution of the linear regression ...
654 views

### Is lasso always outperformed by adaptive lasso?

I have been reading some papers and I understood that adaptive lasso has the Oracle properties which lasso lacks. Does that mean adaptive lasso always better than lasso (let's focus on the simple ...
1k views

### When would I choose Lasso over Elastic Net

What are the scenarios where Lasso is likely to perform better than Elastic Net (out of sample prediction)?
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### Once you have used LASSO to generate regression coefficients, is there another step that gives you information about the model?

I've run a LASSO to build a model out of ~60 potential predictors. I'm wondering what the next step is? If there were OLS regression I would find model fit statistics like R2 or AIC. I would also find ...
944 views

### L1 and L2 regularization showing increased MSE with added vars (that eventually decreases)

I am attempting to run Ridge, LASSO, and Elastic Net regression as the regularization approaches are commonly used in the problem I'm working to solve. I have successfully run both glmnet() and cv....
50 views

### Before using CV-selected Regression model for Inference, shouldn't model performance be evaluated on unused test set?

I just came across a biokinesiology paper that used some Machine Learning methods, but I think there is a flaw in their methodology. The authors had data on stroke patients and used Lasso regression ...
718 views

### Why not use Ridge after Lasso vs relaxed Lasso

Has anyone ever applied a ridge regression on a model subset selected from a cross validated lasso? In other words, take a data set with p features and run lasso, grid searched to find optimal ...
965 views

### Prediction with OLS better then prediction with lasso or ridge

I did a regression on a train data set with 7000 observations and 50 explenatory variables with ols ridge and lasso. The lambda was chosen via cross validation. After that i wanted to compare the ...
2k views

### What is the difference between Lasso regression in glmnet (in R) and Sklearn lasso (in Python)?

A similar post was discussed here regarding Ridge Regression: What are the differences between Ridge regression using R's glmnet and Python's scikit-learn? My question is what is this ...
880 views

### How to group continuous variables in LASSO for a multinomial regression model?

With the goal of selecting predictors for a 4 level outcome variable I want to apply LASSO for predictor selection. Some continuous variables are related to each-other and should all be in the final ...
### Prior for $\lambda$ is LASSO prior?
I have a regression model with regression coefficients $\beta_j$, $j=1,...,n$, and I would like to use a LASSO prior for $\beta_j$, this is: $$\beta_j \sim Laplace(0,1/\lambda),$$ where the Laplace ...