A study on bias effect of LASSO regression for model selection criteria

모형 선택 기준들에 대한 LASSO 회귀 모형 편의의 영향 연구

Yu, Donghyeon

  • Received : 2016.03.02
  • Accepted : 2016.04.28
  • Published : 2016.06.30


High dimensional data are frequently encountered in various fields where the number of variables is greater than the number of samples. It is usually necessary to select variables to estimate regression coefficients and avoid overfitting in high dimensional data. A penalized regression model simultaneously obtains variable selection and estimation of coefficients which makes them frequently used for high dimensional data. However, the penalized regression model also needs to select the optimal model by choosing a tuning parameter based on the model selection criterion. This study deals with the bias effect of LASSO regression for model selection criteria. We numerically describes the bias effect to the model selection criteria and apply the proposed correction to the identification of biomarkers for lung cancer based on gene expression data.


LASSO;penalized regression;bias;model selection;information criterion


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