Chapter 8: Least Absolute Shrinkage and Selection Operator and Elastic Net
The Importance of the Bias-Variance Tradeoff
Least Absolute Shrinkage and Selection Operator
Introduction
In Chapter 5, you learned about stepwise regression, which is a method to select a few from many possible regressors for inclusion in a regression equation. In this chapter, you will learn two more such methods: least absolute shrinkage and selection operator (LASSO) and elastic net, which take a different approach to reducing the number of regressors.
As shown in the multivariate analysis framework ...
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