On Lasso refitting strategies

Chzhen, E; Hebiri, M; Salmon, J

Chzhen, E (reprint author), Univ Paris Est, LAMA, 5 Blvd Descartes, F-77420 Champs Sur Marne, France.

BERNOULLI, 2019; 25 (4A): 3175

Abstract

A well-known drawback of l(1)-penalized estimators is the systematic shrinkage of the large coefficients towards zero. A simple remedy is to treat Las......

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