Hi, Unfortunately, statistics is not magic, and they are many situation in which l1 recovery is not garanteed to work.
I cannot give magic answers, and I suggest that you think a lot about how you can validate any findings using external sources. That said, I would suggest, in general, to standardize your variables, and to use randomized-sparsity, rather than simple l1, for feature selection: http://scikit-learn.org/stable/modules/feature_selection.html#randomized-sparse-models G On Sat, Jun 01, 2013 at 08:22:41AM -0400, o m wrote: > I've been playing around with Lasso and Lars, but there's something that > bothers me about standardization. > If I don't standardize to N(0, 1), these procedures indicate that a certain > set > of variables are the most important. Yet, if I standardize, I get a completely > different set of variables. As expected, the lars or lasso plots from varying > alpha look very different. I know there's a good reason for this, but then > what's the right way to identify the important variables from a large set? > I could take prediction quality on testing data, but there's a conflict if the > important variables are so different under standardization. > Any help or pointers is appreciated. > Best Regards. > ------------------------------------------------------------------------------ > Get 100% visibility into Java/.NET code with AppDynamics Lite > It's a free troubleshooting tool designed for production > Get down to code-level detail for bottlenecks, with <2% overhead. > Download for free and get started troubleshooting in minutes. > http://p.sf.net/sfu/appdyn_d2d_ap2 > _______________________________________________ > Scikit-learn-general mailing list > Scikit-learn-general@lists.sourceforge.net > https://lists.sourceforge.net/lists/listinfo/scikit-learn-general -- Gael Varoquaux Researcher, INRIA Parietal Laboratoire de Neuro-Imagerie Assistee par Ordinateur NeuroSpin/CEA Saclay , Bat 145, 91191 Gif-sur-Yvette France Phone: ++ 33-1-69-08-79-68 http://gael-varoquaux.info http://twitter.com/GaelVaroquaux ------------------------------------------------------------------------------ Get 100% visibility into Java/.NET code with AppDynamics Lite It's a free troubleshooting tool designed for production Get down to code-level detail for bottlenecks, with <2% overhead. Download for free and get started troubleshooting in minutes. http://p.sf.net/sfu/appdyn_d2d_ap2 _______________________________________________ Scikit-learn-general mailing list Scikit-learn-general@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/scikit-learn-general
