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The Adaptive Lasso and Its Oracle Properties
pages.cs.wisc.eduSimilar to the lasso, the adaptive lasso is shown to be near-minimax optimal. Furthermore, the adaptive lasso can be solved by the same efÞcient algorithm for solving the lasso. We also discuss the extension of the adaptive lasso in generalized linear models and show that the oracle properties still hold under mild regularity conditions.
The Adaptive Lasso and Its Oracle Properties
users.stat.umn.eduing the lasso. They showed that the lasso can perform auto-matic variable selection because the 1 penalty is singular at the origin. On the other hand, the lasso shrinkage produces biased estimates for the large coefÞcients, and thus it could be suboptimal in terms of estimation risk. Fan and Li conjec-