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Adaptive lasso and its oracle properties
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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.