Lasso

Adaptive Lasso is an evolution of the Lasso. Let's see briefly how it improves Lasso and show the code needed to run it in R! Lasso was introduced in this post, in case you don't know the method, please read about it here before! Oracle Procedure Before we enter the Adaptive Lasso it is important to know what is a procedure known as “Oracle”. An oracle procedure is one that has the following oracle properties:

After a brief introduction of the methods, we will see how to run Ridge Regression and Lasso using R.