Stability of a Generalized Debiased Lasso with Applications to
Resampling-Based Variable Selection
Stability of a Generalized Debiased Lasso with Applications to
Resampling-Based Variable Selection
Suppose that we first apply the Lasso to a design matrix, and then update one of its columns. In general, the signs of the Lasso coefficients may change, and there is no closed-form expression for updating the Lasso solution exactly. In this work, we propose an approximate formula for updating …