A Permutation Approach for Selecting the Penalty Parameter in Penalized Model Selection

8 Apr 2014Jeremy SabourinWilliam ValdarAndrew Nobel

We describe a simple, efficient, permutation based procedure for selecting the penalty parameter in the LASSO. The procedure, which is intended for applications where variable selection is the primary focus, can be applied in a variety of structural settings, including generalized linear models... (read more)

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