The LASSO model (Least Absolute Shrinkage and Selection Operator) is a recent development that allows you to find a good fitting model in the regression context. It avoids many of the problems of overfitting that plague other model-building approaches.
In this Statistically Speaking Training, guest instructor Steve Simon, PhD, explains what overfitting is — and why it’s a problem.
Then he illustrates the geometry of the LASSO model in comparison to other regression approaches, ridge regression and stepwise variable selection.
Finally, he shows you how LASSO regression works with a real data set.
Note: This training is an exclusive benefit to members of the Statistically Speaking Membership Program and part of the Stat’s Amore Trainings Series. Each Stat’s Amore Training is approximately 90 minutes long.
About the Instructor
Steve Simon works as an independent statistical consultant and as a part-time faculty member in the Department of Biomedical and Health Informatics at the University of Missouri-Kansas City. He has previously worked at Children’s Mercy Hospital, the National Institute for Occupational Safety and Health, and Bowling Green State University.
Steve has over 90 peer-reviewed publications, four of which have won major awards. He has written one book, Statistical Evidence in Medical Trials, and is the author of a major website about Statistics, Research Design, and Evidence Based Medicine, www.pmean.com. One of his current areas of interest is using Bayesian models to forecast patient accrual in clinical trials. Steve received a Ph.D. in Statistics from the University of Iowa in 1982.
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