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Bug in LASSO AIC BIC formula #17145

@ababino

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@ababino

Hi,
I think that the calculation of sigma in this line is wrong:

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.

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