On the prediction performance of the Lasso

Abstract

Although the Lasso has been extensively studied, the relationship between its prediction performance and the correlations of the covariates is not fully understood. In this paper, we give new insights into this relationship in the context of multiple linear regression. We show, in particular, that the incorporation of a simple correlation measure into the tuning parameter can lead to a nearly optimal prediction performance of the Lasso even for highly correlated covariates. However, we also reveal that for moderately correlated covariates, the prediction performance of the Lasso can be mediocre irrespective of the choice of the tuning parameter. We finally show that our results also lead to near-optimal rates for the least-squares estimator with total variation penalty.