期刊名称：Pakistan Journal of Statistics and Operation Research
印刷版ISSN：2220-5810
出版年度：2011
卷号：7
期号：2-Sp
DOI：10.1234/pjsor.v7i2-Sp.389
语种：English
出版社：College of Statistical and Actuarial Sciences
摘要：Variable selection is an important property of shrinkage methods. The adaptive lasso is an oracle procedure and can do consistent variable selection. In this paper, we provide an explanation that how use of adaptive weights make it possible for the adaptive lasso to satisfy the necessary and almost sufcient condition for consistent variable selection. We suggest a novel algorithm and give an important result that for the adaptive lasso if predictors are normalised after the introduction of adaptive weights, it makes the adaptive lasso performance identical to the lasso.
关键词：Lasso, Adaptive lasso, Variable selection, LARS
