I am doing a feature reduction analysis with the LASSO. I have used the lassoglm function in matlab with a CV of 10. My result is the linear combination of the coefficients I got from the LASSO.
Since I do not have features for just one region, but I have 45 regions, it means that I will have 45 linear combinations (let's call them vectors).
Would it be possible to run a second LASSO to reduce also the number of regions?