I fitted lasso regression to "diabetes" data from Efron paper (2004).
I had the plot of the coefficients path, but how to know which the best model from this fitting/plot?
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How are you defining "best model"? – Matthew Drury Jul 04 '16 at 05:06
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@Matthew Drury , for example if I have ten variables then I will say those three variables are contributed for the response more, I will just include those three out of ten in my final/best model – jeza Jul 04 '16 at 05:09
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If you want a three variable model, choose the value of $\lambda$ that gives you the best performing lasso model with three predictors. – Matthew Drury Jul 04 '16 at 05:11
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Is that mean, there is no criteria such as AIC and BIC to choose between models. ## based on what the best performing lasso model. – jeza Jul 04 '16 at 05:18