Statistical Theory and Methods
Published Online: 15 JAN 2013
Copyright © 2002 John Wiley & Sons, Ltd
Encyclopedia of Environmetrics
How to Cite
2013. Lasso, the. Encyclopedia of Environmetrics. 3.
- Published Online: 15 JAN 2013
The LASSO (least absolute shrinkage and selection operator) is a method of estimation in linear regression (and related) models that combines shrinkage estimation achieved in ridge regression with model selection where some (or all) parameter estimates are set to zero. The LASSO is capable of producing a “sparse” estimate of the parameter and can be used effectively even when the number of parameters exceeds the number of observations. LASSO estimates can be computed very efficiently using a number of methods, including coordinate descent methods. A number of generalizations of the LASSO have been proposed, including the fused LASSO, the group LASSO, and the adaptive LASSO.
- shrinkage estimation;
- ridge regression;
- least angle regression;
- coordinate descent algorithms;