In this note, I will look at history of Lasso estimation, which is the benchmark high dimensional estimation technique. I want to also give a perspective where Lasso may be evolving.

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the <I>ℓ</I><SUB>∞</SUB> estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...</sub></i>