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Techniques for analyzing the relationship between one (or more) "dependent" variables and "independent" variables.

30 votes
2 answers
5k views

Advantages of doing "double lasso" or performing lasso twice?

I once heard a method of using the lasso twice (like a double-lasso) where you perform lasso on the original set of variables, say S1, obtain a sparse set called S2, and then perform lasso again on se …
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