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Variable selection by lasso-type methods

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Author(s): Sohail Chand | Shahid Kamal

Journal: Pakistan Journal of Statistics and Operation Research
ISSN 1816-2711

Volume: 7;
Issue: 2-Sp;
Date: 2011;
Original page

Keywords: Lasso | Adaptive lasso | Variable selection | LARS

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.
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