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pcLasso: Principal Components Lasso
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>.
Getting started
Browse package contents
Package details |
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| Author | Jerome Friedman, Kenneth Tay, Robert Tibshirani |
| Maintainer | Rob Tibshirani <tibs@stanford.edu> |
| License | GPL-3 |
| Version | 1.2 |
| URL | https://arxiv.org/abs/1810.04651 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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