Discussion : “ a Significance Test for the Lasso ”
نویسندگان
چکیده
1. A short description of the test procedure. We start by presenting the proposed test procedure in a slightly different form than in the paper. Let β̂(λ) := arg min 2‖y −Xβ‖2 + λ‖β‖1 be the Lasso estimator with tuning parameter equal to λ. The paper uses the Lasso path {β̂(λ) :λ > 0} to construct a test statistic for the significance of certain predictor variables. For a subset S ⊆ {1, . . . , p}, let β̂S(λ) be the Lasso solution using only the variables in S:
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Discussion : “ a Significance Test for the Lasso ”
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