The Optimal Estimation of Lasso

摘要

The estimation of lasso is important problem of high dimensional data; the optimal estimation's formula of lasso is unsolved riddle of high dimensional data. In order to solve this problem, we give the structure of lasso estimation by using mathematical method in the orthogonal design. The optimal estimation's formula of lasso is solved in the orthogonal design, it is pointed out that there is a gradual process of dimension reduction by using method of lasso.