Park, Mee Young; Hastie, Trevor - In: Journal of the Royal Statistical Society Series B 69 (2007) 4, pp. 659-677
We introduce a path following algorithm for "L"<sub>1</sub>-regularized generalized linear models. The "L"<sub>1</sub>-regularization procedure is useful especially because it, in effect, selects variables according to the amount of penalization on the "L"<sub>1</sub>-norm of the coefficients, in a manner that is less greedy...