Sign compatibility of LAR and Lasso

ID: sign-compatibility-of-lar-and-lasso

If every nonzero active coefficient has the sign of its residual score along the least angle regression path, the LAR active correlation invariant and inactive bounds give the Karush-Kuhn-Tucker conditions for the Lasso. A unique Lasso solution then equals the LAR path. Zero coefficients use a subgradient interval; literal sign equality with sign(0)=0 is not appropriate for a newly entering coefficient at a positive knot.

New to topics? Read the docs here!