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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. …
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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. …
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