In the paper I give a brief review of the basic idea and some history and then discuss some developments since the original paper on regression shrinkage and selection via the lasso.

This is a preview. Log in through your library . Abstract We propose a self-tuning $\sqrt {Lasso} $ Lasso method that simultaneously resolves three important practical problems in high-dimensional ...

Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have proved robust in other fields for dealing with the curse of dimensionality, ...