Standard Article

Lasso, the

Statistical Theory and Methods

Published Online: 15 JAN 2013

DOI: 10.1002/9780470057339.vnn087

Encyclopedia of Environmetrics

Encyclopedia of Environmetrics

How to Cite

2013. Lasso, the. Encyclopedia of Environmetrics. 3.

Publication History

  1. Published Online: 15 JAN 2013

Abstract

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.

Keywords:

  • shrinkage estimation;
  • ridge regression;
  • least angle regression;
  • coordinate descent algorithms;
  • bootstrap