relaxo v0.1-2

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Relaxed Lasso

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

Name Description
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
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Details

Type Package
Date 2012-06-01
License GPL
URL http://www.stats.ox.ac.uk/~meinshau/
Packaged 2012-06-01 15:48:01 UTC; meinsn
Repository CRAN
Date/Publication 2012-06-01 16:06:47

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