Lasso Related Links

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The Lasso Page is maintained by the inventor of lasso and provides most important references for lasso.

The book Elements of Statistical Learning (pdf) describes the lasso in detail.

Lasso in R: lars: Least Angle Regression, Lasso and Forward Stagewise, and glmnet: Lasso and elastic-net regularized generalized linear models (Note: lars() function from the lars package is probably much slower than glmnet() from glmnet.)

The adaptive lasso paper

Adaptive lasso in R
adaptive.lasso function in lqa package (Penalized Likelihood Inference for GLMs)
adalasso function in parcor package (Regularized estimation of partial correlation matrices)

The graphical lasso paper

Graphical lasso in R (glasso: Graphical lasso- estimation of Gaussian graphical models)

The joint graphical lasso paper

Joint graphical lasso in R (JGL: Performs the Joint Graphical Lasso for sparse inverse covariance estimation on multiple classes)

The Bayesian adaptive lasso paper