UniLasso stacks leave-one-out univariate fits through a non-negative lasso, preserving univariate signs and yielding sparser models than lasso with comparable MSE under a sign-consistency condition.
(1995), ‘Better subset selection using the non-negative garotte’,Technometrics37, 738–
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Univariate-Guided Sparse Regression
UniLasso stacks leave-one-out univariate fits through a non-negative lasso, preserving univariate signs and yielding sparser models than lasso with comparable MSE under a sign-consistency condition.