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relaxo (version 0.1-2)

Relaxed Lasso

Description

Relaxed Lasso is a generalisation of the Lasso shrinkage technique for linear regression. Both variable selection and parameter estimation is achieved by regular Lasso, yet both steps do not necessarily use the same penalty parameter. The results include all standard Lasso solutions but allow often for sparser models while having similar or even slightly better predictive performance if many predictor variables are present. The package depends on the LARS package.

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Version

Install

install.packages('relaxo')

Monthly Downloads

40

Version

0.1-2

License

GPL

Last Published

June 1st, 2012

Functions in relaxo (0.1-2)

cvrelaxo

Cross validation for "Relaxed Lasso"
plot.relaxo

Plot of a Relaxed Lasso Object
relaxo

Relaxed Lasso (relaxo)
predict.relaxo

predict method for class relaxo