[PDF]Lockhart (2013) A significance test for the lasso

A significance test for the lasso Richard Lockhart1 Jonathan Taylor2 Ryan J. Tibshirani3 Robert Tibshirani2 1 Simon Fraser University, 2 Stanford University, 3 Carnegie Mellon University Abstract In the sparse linear regression setting, we consider testing the significance of the predictor variable that enters the current lasso model, in the sequence of models visited along the lasso solution path

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Lassoで有意差検定って多分これだわ