

























We study the effective degrees of freedom of the lasso in the framework of Stein's unbiased risk estimation (SURE). We show that the number of nonzero coefficients is an unbiased estimate for the degrees of freedom of the lasso--a conclusion that requires no special assumption on the predictors. In addition, the unbiased estimator is shown to be asymptotically consistent. With these results on hand, various model selection criteria--$C_p$, AIC and BIC--are available, which, along with the LARS algorithm, provide a principled and efficient approach to obtaining the optimal lasso fit with the computational effort of a single ordinary least-squares fit.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。