Author(s):
1. Sohail Chand:
College of Statistical and Actuarial Sciences University of the Punjab Lahore,Pakistan
2. Shahid Kamal:
College of Statistical and Actuarial Sciences
University of the Punjab
Lahore, Pakistan
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 makes it possible for the adaptive lasso to satisfy the necessary and almost sufficient condition for consistent variable selection. We suggest a novel algorithm and give an important result that for the adaptive lasso normalisation of predictors after the introduction of adaptive weights makes the adaptive lasso performance identical to the lasso.
Page(s):
451-464
DOI:
DOI not available
Published:
Journal: Pakistan Journal of Statistics and Operation Research, Volume: 7, Issue: 2, Year: 2011
Keywords:
LASSO
,
Variable selection
,
Adaptive lasso
,
LARS
References:
References are not available for this document.
Citations
Citations are not available for this document.