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arXiv · 1111.0653

Degrees of freedom in lasso problems

Ryan J. Tibshirani·Jonathan Taylor
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Abstract

We derive the degrees of freedom of the lasso fit, placing no assumptions on the predictor matrix $X$. Like the well-known result of Zou, Hastie and Tibshirani [Ann. Statist. 35 (2007) 2173-2192], which gives the degrees of freedom of the lasso fit when $X$ has full column rank, we express our result in terms of the active set of a lasso solution. We extend this result to cover the degrees of freedom of the generalized lasso fit for an arbitrary predictor matrix $X$ (and an arbitrary penalty matrix $D$). Though our focus is degrees of freedom, we establish some intermediate results on the lasso and generalized lasso that may be interesting on their own.

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Ryan J. Tibshirani, Jonathan Taylor. 2011-11-02. Degrees of freedom in lasso problems. https://doi.org/10.1214/12-aos1003

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