On Bootstrapping Lasso in Generalized Linear Models and the Cross Validation

Generalized linear models or GLM constitutes an important set of models which generalizes the ordinary linear regression by connecting the response variable with the covariates through arbitrary link functions. On the other hand, Lasso is a popular and easy to implement penalization method in regression when all the covariates are not relevant. However, Lasso generally has non-tractable asymptotic distribution and hence development of an alternative method of distributional approximation is required for the purpose of statistical inference. In this paper, we develop a Bootstrap method which works as an approximation of the distribution of the Lasso estimator for all the sub-models of GLM. To connect the distributional approximation theory based on the proposed Bootstrap method with the practical implementation of Lasso, we explore the asymptotic properties of K-fold cross validation-based penalty parameter. The results established essentially justifies drawing valid statistical inference regarding the unknown parameters based on the proposed Bootstrap method for any sub model of GLM after selecting the penalty parameter using K-fold cross validation. Good finite sample properties are also shown through a moderately large simulation study. The method is also implemented on a real data set.