Roberts, S.; Nowak, G. - In: Computational Statistics & Data Analysis 70 (2014) C, pp. 198-211
An abundance of high-dimensional data has meant that L1 penalized regression, known as the lasso, has become an indispensable tool of the practitioner. A feature of the lasso is a “tuning” parameter that controls the amount of shrinkage applied to the coefficients. In practice, a value for...