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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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27 views

Interpretation of lasso shrinkage

Is there a similar interpretation to the lasso? That is, how does lasso choose which covariates to shrink down and truncate and what does that imply about them? … If a predictor is dropped by lasso, can we then suggest that that predictor was weak/low variance/irrelevant? …
3 votes
1 answer
189 views

Resources for learning about lasso

I'm looking for resources on lasso regression at the undergraduate mathematics level. All I can find is a lot of complex texts on variable selection, concentration inequalities, etc. … I would like to understand more about how the lasso selects variables and works. …