How Correlations Influence Lasso Prediction
From MaRDI portal
Publication:2989385
DOI10.1109/TIT.2012.2227680zbMATH Open1364.62186arXiv1204.1605OpenAlexW1976734415MaRDI QIDQ2989385FDOQ2989385
Authors: Mohamed Hebiri, Johannes Lederer 
Publication date: 8 June 2017
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Abstract: We study how correlations in the design matrix influence Lasso prediction. First, we argue that the higher the correlations are, the smaller the optimal tuning parameter is. This implies in particular that the standard tuning parameters, that do not depend on the design matrix, are not favorable. Furthermore, we argue that Lasso prediction works well for any degree of correlations if suitable tuning parameters are chosen. We study these two subjects theoretically as well as with simulations.
Full work available at URL: https://arxiv.org/abs/1204.1605
Cited In (14)
- Group sparse recovery via group square-root elastic net and the iterative multivariate thresholding-based algorithm
- Estimation of Linear Functionals in High-Dimensional Linear Models: From Sparsity to Nonsparsity
- Non-negative least squares for high-dimensional linear models: consistency and sparse recovery without regularization
- \(L_1\)-penalization in functional linear regression with subgaussian design
- Inference for high-dimensional instrumental variables regression
- Oracle inequalities for high-dimensional prediction
- A tuning-free robust and efficient approach to high-dimensional regression
- Prediction error bounds for linear regression with the TREX
- Tuning parameter calibration for \(\ell_1\)-regularized logistic regression
- A permutation approach for selecting the penalty parameter in penalized model selection
- Statistical guarantees for regularized neural networks
- Title not available (Why is that?)
- Tuning parameter calibration for personalized prediction in medicine
- Targeted deep learning: framework, methods, and applications
This page was built for publication: How Correlations Influence Lasso Prediction
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2989385)
