The repository contains the replication code of a simulation presented as the final project of the TSE High-dimensional models class. The simulation included the comparison of the LASSO, the Group LASSO and the Sparse Group LASSO estimator for different type of datasets (factor dataset or correlated dataset) and a variety of different data characteristics. The different estimators are evaluated using the L0 norm as well as the Root Mean Squared Error (RMSE).
The project was done in cooperation with Saloua Benami.