To borrow from Gilbert Strang's evaluation of the Gaussian elimination, LARS is an idea you probably would've considered eventually had it not already been discovered by Efron, Hastie, Johnstone, and Tibshirani in their work [1].
Taking a more fundamental approach to regularization with LARS
Getting ready
LARS is a regression technique that is well suited to high-dimensional problems, that is, p >> n, where p denotes the columns or features and n is the number of samples.
How to do it...
- First, import the necessary objects. The data we use will have 200...