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Hi,
I think that the calculation of sigma in this line is wrong:
scikit-learn/sklearn/linear_model/_least_angle.py
Line 1785 in 95d4f08
sigma2 = np.var(y) |
According to Zou et al, 2007 Eq. 2.12 the value of sigma is the sigma_ols. It should be calculated as:
sigma2 = np.var(R)
I hope this is useful.