Does "lasso" compute the naïve elastic net estimates?
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Does the lasso-function in the Statistical Toolbox compute the naïve elastic net estimates or the elastic net estimates? The objective function presented at "http://www.mathworks.se/help/stats/lasso.html" is not quit the same as the one presented by Zou and Hastie (2005) in the article on the Elastic Net. But maybe these representations may be shown to be equivalent?
Tanks a lot!
Best,
Esben
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Steve
le 16 Sep 2013
The lasso and lassoglm functions in the Statistics Toolbox implement a slightly different but equivalent formulation, as given in the following reference, as cited in the comments immediately following the help text in both functions.
[3] Friedman, J., R. Tibshirani, and T. Hastie. (2010) Regularization paths for generalized linear models via coordinate descent. Journal of Statistical Software, Vol 33, No. 1, http://www.jstatsoft.org/v33/i01.
the cyclist
le 17 Sep 2013
@Steve, why not make this an answer, rather than a comment, so that it could potentially be accepted as solving the question.
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Steve
le 17 Sep 2013
The lasso and lassoglm functions in the Statistics Toolbox implement a slightly different but equivalent formulation, as given in the following reference, which is cited in the comments immediately following the help text in both functions.
[3] Friedman, J., R. Tibshirani, and T. Hastie. (2010) Regularization paths for generalized linear models via coordinate descent. Journal of Statistical Software, Vol 33, No. 1, http://www.jstatsoft.org/v33/i01.
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