37
LASSO II
¥Constraint
is
¥
¥
¥
where ajk is the jth element in
the kth EOF, and t is a Ôtuning
parameterÕ. As t ¨ 0, an increasing number
of loadings are driven to 0.
¥The
technique is named SCoTLASS (Simplified Component Technique – LASSO).
¥Zou et
al. (2006) have an ÔimprovedÕ version of SCoTLASS,
with an implementation in R
