资 源 简 介
Three main properties are derived: (1) A simple modification of the LARS
algorithm implements the Lasso, an attractive version of ordinary least
squares that constrains the sum of the absolute regression coefficients;
the LARS modification calculates all possible Lasso estimates for a given
problem, using an order of magnitude less computer time than previous
methods. (2) A different LARS modification efficiently implements Forward
Stagewise linear regression, another promising new model selection method;
this connection explains the similar numerical results previously observed
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