LASSO : SOLUSI ALTERNATIF SELEKSI PEUBAH DAN PENYUSUTAN KOEFISIEN MODEL REGRESI LINIER

Agus Mohamad Soleh (Bogor Agricultural University (IPB))
_ Aunuddin

FORUM STATISTIKA DAN KOMPUTASI
Vol. 18 No. 1 (2013)

A new method, known as LASSO, has recently developed for selections and shrinkage linear regression methods. The method gives an alternative solution on high correlated data between independent variables, where the least squares produces high variance. Based on simulation this method is not better than forward selection (in the case the parameters contains many zero values) and ridge regression (in the case all parameter values close to zero). Unknowing the true parameter and consistency estimates for all conditions that put the LASSO is better than ridge or forward selection.Keywords : LASSO, least square, forward selection, ridge, cross validation