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Concept
Least-angle regression
Summary
In statistics, least-angle regression (LARS) is an algorithm for fitting linear regression models to high-dimensional data, developed by Bradley Efron, Trevor Hastie, Iain Johnstone and Robert Tibshirani.
Suppose we expect a response variable to be determined by a linear combination of a subset of potential covariates. Then the LARS algorithm provides a means of producing an estimate of which variables to include, as well as their coefficients.
Instead of giving a vector result, the LARS solution consists of a curve denoting the solution for each value of the L1 norm of the parameter vector. The algorithm is similar to forward stepwise regression, but instead of including variables at each step, the estimated parameters are increased in a direction equiangular to each one's correlations with the residual.
The advantages of the LARS method are:
It is computationally just as fast as forward selection.
It produces a full piecewise linear solution path, which is useful in cross-validation or similar attempts to tune the model.
If two variables are almost equally correlated with the response, then their coefficients should increase at approximately the same rate. The algorithm thus behaves as intuition would expect, and also is more stable.
It is easily modified to produce efficient algorithms for other methods producing similar results, like the lasso and forward stagewise regression.
It is effective in contexts where p ≫ n (i.e., when the number of predictors p is significantly greater than the number of points n)
The disadvantages of the LARS method include:
With any amount of noise in the dependent variable and with high dimensional multicollinear independent variables, there is no reason to believe that the selected variables will have a high probability of being the actual underlying causal variables. This problem is not unique to LARS, as it is a general problem with variable selection approaches that seek to find underlying deterministic components.
Official source
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