Adaptive Lasso in Matlab

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Esben
Esben 2013-9-13
I am doing a project on methods for variable selection, and I want to apply the Adaptive Lasso by Zou (2006) on some data using Matlab. As initial weights I want to use the coefficient estimates from a Ridge regression. I suppose that it would be possible to use the "ridge" function and the "lasso" function in the Statistics Toolbox to perform these calculations, but I little uncertain on how exactly to do this. The data that I use is not scaled to have mean zero and unit variance, so this also has to be taken care of. Any suggestions on how to implement the stuff explained above?
Many thanks in advance!
Esben

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