Main Article Content
Abstract
Variable selection is an important property of shrinkage methods. The adaptive lasso is an oracle procedure and can do consistent variable selection. In this paper, we provide an explanation that how use of adaptive weights make it possible for the adaptive lasso to satisfy the necessary and almost sufcient condition for consistent variable selection. We suggest a novel algorithm and give an important result that for the adaptive lasso if predictors are normalised after the introduction of adaptive weights, it makes the adaptive lasso performance identical to the lasso.
Keywords
Lasso
Adaptive lasso
Variable selection
LARS
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How to Cite
Chand, S., & Kamal, S. (2011). Variable selection by lasso-type methods. Pakistan Journal of Statistics and Operation Research, 7(2-Sp). https://doi.org/10.18187/pjsor.v7i2-Sp.389