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.
Functions in relaxo
|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|
Last month downloads
Include our badge in your README