LassoBacktracking: Modelling Interactions in High-Dimensional Data with Backtracking

Implementation of the algorithm introduced in Shah, R. D. (2016) <>. Data with thousands of predictors can be handled. The algorithm performs sequential Lasso fits on design matrices containing increasing sets of candidate interactions. Previous fits are used to greatly speed up subsequent fits so the algorithm is very efficient.

Getting started

Package details

AuthorRajen Shah [aut, cre]
MaintainerRajen Shah <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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LassoBacktracking documentation built on May 2, 2019, 2:37 a.m.