Stability of a Generalized Debiased Lasso with Applications to Resampling-Based Variable Selection

arXiv:2405.03063v1 Announce Type: cross
Abstract: Suppose that we first apply the Lasso to a design matrix, and then update one of its columns. In general, the signs of the Lasso coefficients may change, and there is no closed-form expression for updating the Lasso solution exactly. In this work, we propose an approximate formula for updating a debiased Lasso coefficient. We provide general nonasymptotic error bounds in terms of the norms and correlations of a given design matrix's columns, and then …

abstract applications apply arxiv change cs.it cs.lg design form general generalized lasso math.it math.st matrix resampling solution stability stat.me stat.ml stat.th type update work