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2006 Aug 14
1
lasso for variable selection
For "importance" it's probably best to stick with absolute values of
coefficients, instead of value of the penalty parameter for which the
coefficients changed to non-zero.
Friedman skipped a lot of details on his rule ensemble in that talk, due to
time constraint. In his implementation he was using his own algorithm,
PathSeeker, for which paper and software are available on his