Semi-Analytic Resampling in Lasso

An approximate method for conducting resampling in Lasso, the \ell_1penalized linear regression, in a semi-analytic manner is developed, whereby the average over the resampled datasets is directly computed without repeated numerical sampling, thus enabling an inference free of the statistical fluctuations due to sampling finiteness, as well as a significant reduction of computational time. The proposed method is based on a message passing...