LassoPath: LASSO path for penalized logistic regression
Description
Fit an interaction uplift model via penalized maximum likelihood. The regularization path is computed for the lasso penalty at a grid of values for the regularization parameter lambda.
Usage
LassoPath(data, formula, nb.lambda = 100)
Arguments
data
a data frame containing the treatment, the outcome and the predictors.
formula
an object of class "formula" (or one that can be coerced to that class): a symbolic description of the model to be fitted.
nb.lambda
the number of lambda values - Default is 100.
Value
a dataframe containing the coefficients values and the number of nonzeros coefficients for different values of lambda.
References
Friedman, J., Hastie, T. and Tibshirani, R. (2010) Regularization Paths for Generalized Linear Models via Coordinate Descent, Journal of Statistical Software, Vol. 33(1), 1-22