Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2015/iii/paper-33/4/d/solution

At fraction , the Lasso regularization path lies between the vertical lines marked steps 4 and 5. In that interval the first five predictors have nonzero slopes: are positive and is negative. The sixth predictor remains at zero until the later part of the path, beyond this fraction. Therefore the chosen Lasso model includes
The regression intercept is retained. In particular the negative trace has already left zero at fraction ; a small slope is not the same as a zero slope. The selected fraction came from ten-fold K-fold cross-validation, and is not a numerical value of the ridge penalty in the preceding parts.

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