Construct · 1 fields · 1 citations

relaxed lasso: a standalone construct

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Statistics

a two-stage lasso in which a first penalty chooses the variables and a smaller second penalty re-estimates them, reducing shrinkage bias.

In statistics, relaxed lasso refers to a two-stage lasso in which a first penalty chooses the variables and a smaller second penalty re-estimates them, reducing shrinkage bias. This meaning comes from Meinshausen (2007) in Computational Statistics & Data Analysis.[1]

Unit
Recovery means
Measured by

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Nearby constructs

bias6 fields · 8 citationsjingle · one name, six constructs lasso1 fields · 1 citationsanchor · one construct, one field shrinkage4 fields · 7 citationsjingle · one word, four constructs

References

Meinshausen, N. (2007). Relaxed Lasso. Computational Statistics & Data Analysis, 52(1), 374-393. https://doi.org/10.1016/j.csda.2006.12.019

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