Complementary information for "The Elements of Statistical Learning"

Chapter 10: In section 10.12.2, we conjecture that there is a close relationship between the Lasso and the Forward Stagewise procedure.
This issue is settled in the paper by Brad Efron, Trevor Hastie, Iain Johnstone, Rob Tibshirani. Least angle regression (ps file).
pdf version Tech. report, Mar 2002.
A new procedure called "least angle regression" is introduced. This provides a bridge between the lasso and forward stagewise, and an efficient algorithm for computing both of them.

There is LARS software for Splus, and a Splus helpfile The software computes the entire LAR, Lasso or Stagewise path in the same order of computations as a single least-squares fit.

See also The Lasso page