Trevor Hastie & Robert Tibshirani 
Statistical Learning with Sparsity [PDF ebook] 
The Lasso and Generalizations

Discover New Methods for Dealing with High-Dimensional Data A sparse statistical model has only a small number of nonzero parameters or weights; therefore, it is much easier to estimate and interpret than a dense model. Statistical Learning with Sparsity: The Lasso and Generalizations presents methods that exploit sparsity to help recover the underl