How Statistica determines the optimal lambda in Lasso Regression
Article ID: KB0081496
Updated On:
| Products | Versions |
|---|---|
| Spotfire Statistica | 13.0 |
Description
This articles details how Statistica Lasso module determines the optimal Lambda
Resolution
Statistica performs v-fold cross-validation to identify the optimal lambda value using minimum average error. The initial run is on the entire data to get the lambda sequence. The cross-validation procedure then splits the input data into v folds and runs the algorithm with each fold omitted. The average errors are calculated over each fold and their standard deviations computed.
Issue/Introduction
How Statistica Lasso determines the optimal lambda
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