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LeastAngleRegression - Stanford University

Least Angle RegressionBradley Efron, Trevor Hastie, Iain Johnstone and Robert TibshiraniStatistics Department, Stanford UniversityJanuary 9, 2003 AbstractThe purpose of model selection algorithms such asAllSubsets,ForwardSelection,andBackwar dEliminationis to choose a linear model on the basis of the same set ofdata to which the model will be applied. Typically we have available a large collectionof possible covariates from which we hope to select a parsimonious set for the efficientprediction of a response ( LARS ), a new model se-lection algorithm, is a useful and less greedy version of traditional forward selectionmethods.

method here, closely related to the “homotopy method” of Osborne, Presnell & Turlach (2000a). The left panel of Figure 1 shows all Lasso solutions β (t) for the diabetes study, as t increases from 0, where β =0,tot=3460.00, where β equals the OLS regression vector, the constraint in (1.5) no longer binding.

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