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>.

Package details

AuthorJerome Friedman, Kenneth Tay, Robert Tibshirani
MaintainerRob Tibshirani <[email protected]>
URL https://arxiv.org/abs/1810.04651
Package repositoryView on CRAN
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pcLasso documentation built on Feb. 6, 2019, 5:08 p.m.