The degrees of freedom of the Lasso in underdetermined linear regression models
Language
en
Communication dans un congrès
This item was published in
Proc. SPARS 2011, Proc. SPARS 2011, SPARS 2011, 2011-07-27, Edinburgh. 2011-07-27p. 56
English Abstract
In this paper, we investigate the degrees of freedom (df) of penalized l1 minimization (also known as the Lasso) for an un-derdetermined linear regression model. We show that under a suitable condition on the design matrix, ...Read more >
In this paper, we investigate the degrees of freedom (df) of penalized l1 minimization (also known as the Lasso) for an un-derdetermined linear regression model. We show that under a suitable condition on the design matrix, the number of nonzero coefficients of the Lasso solution is an unbiased estimate for the degrees of freedom. An effective estimator of the number of degrees of freedom may have several applications including an objectively guided choice of the regularization parameter in the Lasso through the SURE or GCV frameworks.Read less <
English Keywords
SURE
Lasso
degrees of freedom
SURE.
ANR Project
Adaptivité pour la représentation des images naturelles et des textures - ANR-08-EMER-0009
Origin
Hal imported