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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.

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For LASSO, what is the best alternative when a held out test set is not viable?

Looking elsewhere, I see that step-wise regression is not advised, and that instead LASSO is reasonably well regarded. … In step 3., the LASSO could be selecting different features in each fold, so how do I determine which features are interesting? …
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