Chunk #1 — 1 Introduction

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Regularization Paths for Generalized Linear Models via Coordinate Descent.

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Efron et al. [2004] developed an efficient algorithm for computing the entire regularization path for the lasso. Their algorithm exploits the fact that the coefficient profiles are piecewise linear, which leads to an algorithm with the same computational cost as the full least-squares fit on the data (see also Osborne et al. [2000]).