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Results tagged with lasso
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user 2067
A regularization method for regression models that shrinks coefficients towards zero, making some of them equal to zero. Thus lasso performs feature selection.
21
votes
Advantages of doing "double lasso" or performing lasso twice?
The idea is to separate the two effects of lasso
Variable selection (i.e., many, even most, $\beta$s are zero)
Coefficient shrinkage (i.e., even non-zero $\beta$s are smaller, in absolute value, than … > n$), and are running lasso, then you want to have a large penalty to select a small number of variables. However, this penalty might shrink the selected variables too much (you are under-fitting). …
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