English

Degrees of freedom in lasso problems

Statistics Theory 2012-07-25 v4 Statistics Theory

Abstract

We derive the degrees of freedom of the lasso fit, placing no assumptions on the predictor matrix XX. 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 XX 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 XX (and an arbitrary penalty matrix DD). 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.

Keywords

Cite

@article{arxiv.1111.0653,
  title  = {Degrees of freedom in lasso problems},
  author = {Ryan J. Tibshirani and Jonathan Taylor},
  journal= {arXiv preprint arXiv:1111.0653},
  year   = {2012}
}

Comments

Published in at http://dx.doi.org/10.1214/12-AOS1003 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-21T19:30:00.774Z