The Lasso Page

      L1-constrained fitting
         for statistics and data mining

The Lasso is a shrinkage and selection method for linear regression. It minimizes the usual sum of squared errors, with a bound on the sum of the absolute values of the coefficients. It has connections to soft-thresholding of wavelet coefficients, forward stagewise regression, and boosting methods.

A simple explanation of the lasso and least angle regression

Lasso resources and links