MLGL (version 1.0.0)

MLGL-package: MLGL

Description

This package presents a method combining Hierarchical Clustering and Group-lasso. Usually, a single partition of the covariates is used in the group-lasso. Here, we provide several partitions from the hierarchical tree.

A post-treatment method based on statistical test (with FWER and FDR control) for selecting the regularization parameter and the optimal group for this value is provided. This method can be applied for the classical group-lasso and our method.

Author

Quentin Grimonprez

Details

The MLGL function performs the hierarchical clustering and the group-lasso. The post-treatment method can be performed with hierarchicalFWER and selFWER functions. The whole process can be run with the fullProcess function.

References

Grimonprez Q, Blanck S, Celisse A, Marot G (2023). "MLGL: An R Package Implementing Correlated Variable Selection by Hierarchical Clustering and Group-Lasso." Journal of Statistical Software, 106(3), 1-33. doi:10.18637/jss.v106.i03.

See Also

MLGL, cv.MLGL, fullProcess, hierarchicalFWER

Examples

# Simulate gaussian data with block-diagonal variance matrix containing 12 blocks of size 5
X <- simuBlockGaussian(50, 12, 5, 0.7)
# Generate a response variable
y <- X[, c(2, 7, 12)] %*% c(2, 2, -2) + rnorm(50, 0, 0.5)
# Apply MLGL method
res <- MLGL(X, y)