[ENH] Add an example for the LASSO modelling using julearn

[omidvarnia]

Is your feature request related to a problem? Please describe.
No

Describe the solution you'd like
An example of how to perform LASSO modelling using julearn and on a sample dataset. Sami has already showed me how to do it and I will need to add his code here.

Describe alternatives you've considered
N/A

Do you have a sample code that implements this outside of julearn?
Yes, but it is in MATLAB.

Additional context
N/A

[fraimondo]

@omidvarnia: @haotsung would like to start contributing to Julearn and this is an ideal first issue for him. Can you clarify what kind of example you were thinking of?

[omidvarnia]

I think an example of how to perform feature selection using Julearn would be very helpful. Imagine we have a set of independent measures for some subjects (say, the behavioural measures in HCP) and would like to use LASSO to tell us which of them are contributing to a particular target (say, age). In other words, which subset of the behavioural measures can more accurately predict age. I was thinking of something like this to show the LASSO procedure (and not necessarily the HCP data and behavioral measures due to the hassle of their access, etc).