Degrees of freedom in lasso problems
From MaRDI portal
Abstract: We derive the degrees of freedom of the lasso fit, placing no assumptions on the predictor matrix . Like the well-known result of Zou, Hastie and Tibshirani [Ann. Statist. 35 (2007) 2173-2192], which gives the degrees of freedom of the lasso fit when has full column rank, we express our result in terms of the active set of a lasso solution. We extend this result to cover the degrees of freedom of the generalized lasso fit for an arbitrary predictor matrix (and an arbitrary penalty matrix ). Though our focus is degrees of freedom, we establish some intermediate results on the lasso and generalized lasso that may be interesting on their own.
Recommendations
Cites work
- Analysis of Long Period Variable Stars With Nonparametric Tests for Trend Detection
- Atomic Decomposition by Basis Pursuit
- Boosting as a regularized path to a maximum margin classifier
- Estimation of the mean of a multivariate normal distribution
- How Biased is the Apparent Error Rate of a Prediction Rule?
- scientific article; zbMATH DE number 47282 (Why is no real title available?)
- scientific article; zbMATH DE number 2008526 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 236540 (Why is no real title available?)
- Least angle regression. (With discussion)
- On the ``degrees of freedom of the lasso
- On the degrees of freedom in shape-restricted regression.
- Regularization and Variable Selection Via the Elastic Net
- Some Comments on C P
- The degrees of freedom of the Lasso for general design matrix
- The solution path of the generalized lasso
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(only showing first 100 items - show all)- On the degrees of freedom in shrinkage estimation
- P-splines with an \(\ell_1\) penalty for repeated measures
- A deconvolution path for mixtures
- Degrees of freedom for piecewise Lipschitz estimators
- Homogeneity detection for the high-dimensional generalized linear model
- The dual and degrees of freedom of linearly constrained generalized Lasso
- On the exponentially weighted aggregate with the Laplace prior
- The Lasso problem and uniqueness
- Sparsity-promoting elastic net method with rotations for high-dimensional nonlinear inverse problem
- On the degrees of freedom of mixed matrix regression
- The generalized Lasso problem and uniqueness
- Automated data-driven selection of the hyperparameters for total-variation-based texture segmentation
- Second-order Stein: SURE for SURE and other applications in high-dimensional inference
- The distribution of the Lasso: uniform control over sparse balls and adaptive parameter tuning
- Spatially clustered varying coefficient model
- Information criteria bias correction for group selection
- High-dimensional asymptotics of likelihood ratio tests in the Gaussian sequence model under convex constraints
- Aggregated hold out for sparse linear regression with a robust loss function
- De-biasing the Lasso with degrees-of-freedom adjustment
- Degrees of freedom for off-the-grid sparse estimation
- On the distribution, model selection properties and uniqueness of the Lasso estimator in low and high dimensions
- Computing the degrees of freedom of rank-regularized estimators and cousins
- ^2 test for total variation regularization parameter selection
- Prediction error after model search
- Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
- A significance test for the lasso
- Discussion: ``A significance test for the lasso
- Rejoinder: ``A significance test for the lasso
- Local behavior of sparse analysis regularization: applications to risk estimation
- MDR method for nonbinary response variable
- Additive models with trend filtering
- Degrees of freedom in submodular regularization: a computational perspective of Stein's unbiased risk estimate
- Generalized cross validation in variable selection with and without shrinkage
- Structured regularization for conditional Gaussian graphical models
- The degrees of freedom of partly smooth regularizers
- Adaptive piecewise polynomial estimation via trend filtering
- On the ``degrees of freedom of the lasso
- Leave-one-out cross-validation is risk consistent for Lasso
- On generalized degrees of freedom with application in linear mixed models selection
- Greedy algorithms for prediction
- Parametric PSF estimation based on recursive SURE for sparse deconvolution
- Selection model for domains across time: application to labour force survey by economic activities
- Low complexity regularization of linear inverse problems
- Simulation and Analytical Approach to the Identification of Significant Factors
- When does more regularization imply fewer degrees of freedom? Sufficient conditions and counterexamples
- Degrees of freedom and model search
- Recursive SURE for iterative reweighted least square algorithms
- Detection of multiple undocumented change-points using adaptive Lasso
- On Degrees of Freedom of Projection Estimators With Applications to Multivariate Nonparametric Regression
- Algorithms for Fitting the Constrained Lasso
- A lasso for hierarchical interactions
- The geometry of least squares in the 21st century
- False Discovery Rate Smoothing
- Geometry and degrees of freedom of linearly constrained generalized Lasso
- Estimation of nonbinary random response
- A new perspective on least squares under convex constraint
- The degrees of freedom of the Lasso for general design matrix
- A study on tuning parameter selection for the high-dimensional lasso
- Estimator of prediction error based on approximate message passing for penalized linear regression
- scientific article; zbMATH DE number 7370628 (Why is no real title available?)
- Investigating competition in financial markets: a sparse autologistic model for dynamic network data
- Parameter choices for sparse regularization with the ℓ1 norm *
- A Pliable Lasso
- Spectrally Sparse Nonparametric Regression via Elastic Net Regularized Smoothers
- Divided Differences, Falling Factorials, and Discrete Splines: Another Look at Trend Filtering and Related Problems
- Regularized boxplot via convex clustering
- Solution uniqueness of convex piecewise affine functions based optimization with applications to constrained _1 minimization
- Excess optimism: how biased is the apparent error of an estimator tuned by SURE?
- Degrees of freedom in low rank matrix estimation
- Prediction risk for the horseshoe regression
- Discussion: ``A significance test for the lasso
- Discussion: ``A significance test for the lasso
- Discussion: ``A significance test for the lasso
- Discussion: ``A significance test for the lasso
- Discussion: ``A significance test for the lasso
- A note on the generalized degrees of freedom under the \(L_{1}\) loss function
- On the selection of predictors by using greedy algorithms and information theoretic criteria
- A variable projection method for large-scale inverse problems with \(\ell^1\) regularization
- Estimation of the Spatial Weighting Matrix for Spatiotemporal Data under the Presence of Structural Breaks
- Likelihood-free inference by ratio estimation
- Statistical Learning for Individualized Asset Allocation
- A cross-validation framework for signal denoising with applications to trend filtering, dyadic CART and beyond
- SURE-tuned bridge regression
- Quantile regression by dyadic CART
- The solution path of the generalized lasso
- Huber loss meets spatial autoregressive model: a robust variable selection method with prior information
- Multi-block alternating direction method of multipliers for ultrahigh dimensional quantile fused regression
- Robust signal dimension estimation via SURE
- High-dimensional longitudinal classification with the multinomial fused Lasso
- A Regression-Based Approach to Robust Estimation and Inference for Genetic Covariance
- Multivariate trend filtering for lattice data
- Sparsity-guided multi-parameter selection in _1-regularized models via a fixed-point proximity approach
- Semi-supervised linear regression: enhancing efficiency and robustness in high dimensions
- Self-supervised conformal prediction for uncertainty quantification in imaging problems
- Identifying network ties from panel data: theory and an application to tax competition
- Corrected generalized cross-validation for finite ensembles of penalized estimators
- Robust penalized estimators for high-dimensional generalized linear models
- Multiscale local polynomial density estimation
- Calculating effective degrees of freedom for forecast combinations and ensemble models
- Parametric programming-based approximate selective inference for adaptive lasso, adaptive elastic net and group lasso
This page was built for publication: Degrees of freedom in lasso problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q447864)
