Degrees of Freedom in Lasso Problems

Details Degrees of Freedom in Lasso Problems Degrees of Freedom in Lasso Problems

2011-11-02

arxiv.org/abs/1111.0653v3

Mathematics

Statistics Theory

28 pages, 1 figure

Scientific paper

We derive the degrees of freedom of the lasso fit, placing no assumptions on the predictor matrix X. Like the well-known result of Zou et al. (2007), which gives the degrees of freedom of the lasso fit when X 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 X (and an arbitrary penalty matrix D). 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.

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