I'm using Lasso to get the best variables to predict an outcome. I understand that this graph gives me λmin and λ1se
However, I don't understand how to get that standard error theoretically. Where does it come from? Thank you!
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Flor H
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SD's are not estimated, see https://stats.stackexchange.com/questions/91462/standard-errors-for-lasso-prediction-using-r – user2974951 Oct 10 '18 at 06:27