Lasso (statistics)

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In statistics and machine learning, lasso (least absolute shrinkage and selection operator; also Lasso, LASSO or L1 regularization) is a regression analysis method that performs both variable selection and regularization in order to enhance the prediction accuracy and interpretability of the resulting statistical model. The lasso method assumes that the coefficients of the linear model are sparse, meaning that few of them are non-zero. It was originally introduced in geophysics, and later by Robert Tibshirani, who coined the term. Lasso was originally formulated for linear regression models. This simple case reveals a substantial amount about the estimator. These include its relationship to ridge regression and best subset selection and the connections between lasso coefficient estimates and so-called soft thresholding. It also reveals that (like standard linear regression) the coefficient estimates do not need to be unique if covariates are collinear. Though originally defined for linear...

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