Shoiuld Humans Lie to Machines: The Incentive Compatibility of Lasso and General Weighted Lasso
人类应向机器谎报信息吗?Lasso 与一般加权 Lasso 的激励相容性
We consider situations where a user feeds her attributes to a machine learning method that tries to predict her best option based on a random sample of other users. The predictor is incentive-compatible if the user has no incentive to misreport her covariates. Focusing on the popular Lasso estimation technique, we borrow tools from high-dimensional statistics to characterize sufficient conditions that ensure that Lasso is incentive compatible in large samples. We extend our…