Lasso Regression

[mepcotterell]

We should implement and test Lasso regression [1] that performs both variable selection and regularization in order to enhance the prediction accuracy and interpretability of the statistical model it produces.

References

[1] Tibshirani, Robert. 1996. “Regression Shrinkage and Selection via the Lasso.” Journal of the Royal Statistical Society. Series B (Methodological) 58 (1). [Royal Statistical Society, Wiley]: 267–88. http://www.jstor.org/stable/2346178