ML 8: Cross-Validated Lasso Is Tuned to Predict, Not to Select
Disclosure: this post was written with the assistance of an AI system (Claude), which wrote the analysis code, ran the experiments and drafted the text. The topic, the constraints, the data choices and the final review are the author’s. With two real effects, one irrelevant feature correlated with a real one and seven of pure noise, cross-validated lasso keeps the real effects (c in at least 100% of datasets, a in at least 78%) and on average 2....