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• W3106171511 abstract "The Lasso is a computationally efficient regression regularization procedure that can produce sparse estimators when the number of predictors $(p)$ is large. Oracle inequalities provide probability loss bounds for the Lasso estimator at a deterministic choice of the regularization parameter. These bounds tend to zero if $p$ is appropriately controlled, and are thus commonly cited as theoretical justification for the Lasso and its ability to handle high-dimensional settings. Unfortunately, in practice the regularization parameter is not selected to be a deterministic quantity, but is instead chosen using a random, data-dependent procedure. To address this shortcoming of previous theoretical work, we study the loss of the Lasso estimator when tuned optimally for prediction. Assuming orthonormal predictors and a sparse true model, we prove that the probability that the best possible predictive performance of the Lasso deteriorates as $p$ increases is positive and can be arbitrarily close to one given a sufficiently high signal to noise ratio and sufficiently large $p$. We further demonstrate empirically that the amount of deterioration in performance can be far worse than the oracle inequalities suggest and provide a real data example where deterioration is observed." @default.
• W3106171511 created "2020-11-23" @default.
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• W3106171511 date "2017-02-01" @default.
• W3106171511 modified "2023-09-28" @default.
• W3106171511 title "On the Sensitivity of the Lasso to the Number of Predictor Variables" @default.
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• W3106171511 doi "https://doi.org/10.1214/16-sts586" @default.
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