Tibshirani announces new research result: A significance test for the lasso
Statistical Modeling, Causal Inference, and Social Science 2013-03-18
Summary:
Lasso and me For a long time I was wrong about lasso. Lasso (“least absolute shrinkage and selection operator”) is a regularization procedure that shrinks regression coefficients toward zero, and in its basic form is equivalent to maximum penalized likelihood estimation with a penalty function that is proportional to the sum of the absolute values [...]