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A regularization method for regression models that shrinks coefficients towards zero, making some of them equal to zero. Thus lasso performs feature selection.
0
votes
Is iterating LASSO a reasonable idea?
As mentioned, first set of coefficients are obtained via ols and rest is via iterated lasso. … What I see from my own example is that iterating the lasso is actually not a good idea.
Considering the Least angle regression algorithm for Lasso solution from Prof. …
4
votes
How to use blasso function in R package "monomvn"?
$beta[, "b.1"],
beta2 = lasso$beta[, "b.2"],
variance = lasso$s2,
lambda.square = lasso$lambda2))
To get the … Let's now check Bayesian lasso:
sum(colMedians(lasso$beta[-seq(burnin), ]) == 0)
56
and it shrank 56 out of 64 exactly to 0. …