Adaptive Lasso. Similar to the lasso the adaptive lasso is shown to be near-minimax optimal. The shrinkage parameter must be larger for selection than prediction Large nonzero parameters will be too small so that the bias is too large.
This estimator was proposed initially by Zou 2006 and the idea behind it is pretty straightforward. Adaptive LASSO is used for consistent variable selection. Furthermore the adaptive lasso can be solved by the same efficient algorithm for solving the lasso.
We show that the adaptive lasso enjoys the oracle properties.
The shrinkage parameter must be larger for selection than prediction Large nonzero parameters will be too small so that the bias is too large. At medium and large values of Adaptive Lasso outperforms both SCAD and the garotte. Jan 01 2012 Similar to the lasso the adaptive lasso is shown to be near-minimax optimal. Aug 18 2020 We can use for example an adaptive lasso estimator.
