Estimating LASSO regression without intercept

Do you know how to impose the constraint "intercept=0" when estimating LASSO regression?

Answer 1

[Prasanna]

Hi Vincent,

To impose the constraint "intercept=0" when estimating LASSO regression in MATLAB, you can specify the 'Intercept' option as false in the lasso function. First, prepare the data and ensure that the predictor matrix and response vector are ready. Set the ‘Intercept’ option to false to exclude the intercept term from the model. A sample example to perform LASSO regression without an intercept term is as follows:

% Example data
X = randn(100, 10); % Predictor matrix 
y = randn(100, 1);  % Response vector

% Perform LASSO regression without intercept
[B, FitInfo] = lasso(X, y, 'Intercept', false);

% Display the coefficients
disp('LASSO Coefficients:');
disp(B);

For more information about the ‘lasso’ function in MATLAB and corresponding input arguments for the same, refer to the following documentation: https://www.mathworks.com/help/stats/lasso.html

Hope this helps!