Leave-one-out cross-validation is risk consistent for Lasso
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Publication:2512895
DOI10.1007/s10994-014-5438-zzbMath1320.62172arXiv1206.6128OpenAlexW2088526229MaRDI QIDQ2512895
Darren Homrighausen, Daniel J. McDonald
Publication date: 2 February 2015
Published in: Machine Learning (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.6128
Related Items (6)
On cross-validated Lasso in high dimensions ⋮ The leave-worst-\(k\)-out criterion for cross validation ⋮ Cross validation in LASSO and its acceleration ⋮ Consistent parameter estimation for Lasso and approximate message passing ⋮ On the sensitivity of the Lasso to the number of predictor variables ⋮ Semi-analytic approximate stability selection for correlated data in generalized linear models
Uses Software
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