A function to quickly unpack a glmnet model object and calculate an optimal model from the regularization path.
unpack.glmnet(mod, ic.k)the glmnet model
the information criterion value. AIC is ic.k=2 and BIC would be ic.k=log n
A list
a matrix of coefficients
the intercepts
This is a small utility we wrote to deal with the slow methods dispatch for S4
classes. The more straightforward option is the coef() method for glmnet
objects but when trying to make thousands of calls a second, that can be very slow