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Regression Shrinkage and Selection via the Lasso

Robert Tibshirani
Journal of the Royal Statistical Society. Series B (Methodological)
Vol. 58, No. 1 (1996), pp. 267-288
Published by: Wiley for the Royal Statistical Society
Stable URL: http://www.jstor.org/stable/2346178
Page Count: 22
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Regression Shrinkage and Selection via the Lasso
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Abstract

We propose a new method for estimation in linear models. The `lasso' minimizes the residual sum of squares subject to the sum of the absolute value of the coefficients being less than a constant. Because of the nature of this constraint it tends to produce some coefficients that are exactly 0 and hence gives interpretable models. Our simulation studies suggest that the lasso enjoys some of the favourable properties of both subset selection and ridge regression. It produces interpretable models like subset selection and exhibits the stability of ridge regression. There is also an interesting relationship with recent work in adaptive function estimation by Donoho and Johnstone. The lasso idea is quite general and can be applied in a variety of statistical models: extensions to generalized regression models and tree-based models are briefly described.

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