A method for fitting the entire regularization path of the principal components lasso for linear and logistic regression models. The algorithm uses cyclic coordinate descent in a path-wise fashion. See URL below for more information on the algorithm. See Tay, K., Friedman, J. ,Tibshirani, R., (2014) 'Principal component-guided sparse regression' <arXiv:1810.04651>.
|Author||Jerome Friedman, Kenneth Tay, Robert Tibshirani|
|Maintainer||Rob Tibshirani <[email protected]>|
|Package repository||View on CRAN|
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