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=== Lasso/glmnet, adaptive lasso and FAQs === | |||
* https://en.wikipedia.org/wiki/Lasso_(statistics). It has a discussion when two covariates are highly correlated. For example if gene <math>i</math> and gene <math>j</math> are identical, then the values of <math>\beta _{j}</math> and <math>\beta _{k}</math> that minimize the lasso objective function are not uniquely determined. Elastic Net has been designed to address this shortcoming. | |||
Revision as of 22:41, 7 September 2019
Lasso/glmnet, adaptive lasso and FAQs
- https://en.wikipedia.org/wiki/Lasso_(statistics). It has a discussion when two covariates are highly correlated. For example if gene \(\displaystyle i\) and gene \(\displaystyle j\) are identical, then the values of \(\displaystyle \beta _{j}\) and \(\displaystyle \beta _{k}\) that minimize the lasso objective function are not uniquely determined. Elastic Net has been designed to address this shortcoming.