Discussion of Least Angle Regression

Algorithms for simultaneous shrinkage and selection in regression and classification provide attractive solutions to knotty old statistical challenges. Nevertheless, as far as we can tell, Tibshirani’s Lasso algorithm has had little impact on statistical practice. Two particular reasons for this may be the relative inefficiency of the original Lasso algorithm, and the relative complexity of more recent Lasso algorithms (e.g., Osborne et al., 2000). Efron, Hastie, Johnstone, and Tibshirani have provided an efficient, simple algorithm for the Lasso as well as algorithms for stagewiseregression and the new least angle regression. As such this paper is an important contribution to statistical computing.