Mixture model for designs in high dimensional regression and the LASSO

Mohamed Ibrahim Assoweh, Emmanuel Caron, Stéphane Chrétien

The LASSO is a recent technique for variable selection in the regression model \bean y & = & Xβ+ z, \eean where $X\in {\mathbb{R}}^{n\times p}$ and $z$ is a centered gaussian i.i.d. noise ve…