Translator Disclaimer
February 2017 On the Sensitivity of the Lasso to the Number of Predictor Variables
Cheryl J. Flynn, Clifford M. Hurvich, Jeffrey S. Simonoff
Statist. Sci. 32(1): 88-105 (February 2017). DOI: 10.1214/16-STS586

Abstract

The Lasso is a computationally efficient regression regularization procedure that can produce sparse estimators when the number of predictors $(p)$ is large. Oracle inequalities provide probability loss bounds for the Lasso estimator at a deterministic choice of the regularization parameter. These bounds tend to zero if $p$ is appropriately controlled, and are thus commonly cited as theoretical justification for the Lasso and its ability to handle high-dimensional settings. Unfortunately, in practice the regularization parameter is not selected to be a deterministic quantity, but is instead chosen using a random, data-dependent procedure. To address this shortcoming of previous theoretical work, we study the loss of the Lasso estimator when tuned optimally for prediction. Assuming orthonormal predictors and a sparse true model, we prove that the probability that the best possible predictive performance of the Lasso deteriorates as $p$ increases is positive and can be arbitrarily close to one given a sufficiently high signal to noise ratio and sufficiently large $p$. We further demonstrate empirically that the amount of deterioration in performance can be far worse than the oracle inequalities suggest and provide a real data example where deterioration is observed.

Citation

Download Citation

Cheryl J. Flynn. Clifford M. Hurvich. Jeffrey S. Simonoff. "On the Sensitivity of the Lasso to the Number of Predictor Variables." Statist. Sci. 32 (1) 88 - 105, February 2017. https://doi.org/10.1214/16-STS586

Information

Published: February 2017
First available in Project Euclid: 6 April 2017

zbMATH: 06946265
MathSciNet: MR3634308
Digital Object Identifier: 10.1214/16-STS586

Rights: Copyright © 2017 Institute of Mathematical Statistics

JOURNAL ARTICLE
18 PAGES


SHARE
Vol.32 • No. 1 • February 2017
Back to Top