Title: A scaled LASSO for multicollinear situations
Authors: Mohammad Arashi - Ferdowsi University of Mashhad (Iran) [presenting]
Yasin Asar - Necmettin Erbakan University (Turkey)
Bahadir Yuzbasi - Inonu University (Turkey)
Abstract: A scaled LASSO is proposed by pre multiplying the LASSO with a matrix term, namely scaled LASSO (SLASSO) for multicollinear situations. A numerical study shows that the SLASSO is comparable with other thresholding techniques and often outperforms the LASSO and elastic net.