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adaptive LASSO and tuning parameters

Hi JMP experts,

I'm using the LASSO regression in JMP Pro 13.


First question: what is the difference between the adaptive and non-adaptive LASSO (any reference in the help or any paper that describes the difference between the two would be higly appreciated)? in what cases one is supposed to provide more advantages than the other?


Second question: after selecting BIC as validation method, is there a way to know what are the corrisponding tuning parameters (alpha and lambda) used in the LASSO?





Re: adaptive LASSO and tuning parameters

I highly recommend reading Help > Books > Fitting Linear Models. The chapters are optimized so that you can focus on the analysis that most interests you. There is a chapter on Generalized Regression (not the Generalized Linear Models) that explains it very well.


Then come back with more questions!

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