ET-Lasso: A New Efficient Tuning of Lasso-type Regularization for High-Dimensional Data

The L1 regularization (Lasso) has proven to be a versatile tool to select relevant features and estimate the model coefficients simultaneously and has been widely used in many research areas such as genomes studies, finance, and biomedical imaging. Despite its popularity, it is very challenging to guarantee the feature selection consistency of Lasso especially when the dimension of the data is huge... (read more)

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