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plasso: Cross-Validated (Post-) Lasso
Built on top of the 'glmnet' library by Friedman, Hastie and Tibshirani (2010) <doi:10.18637/jss.v033.i01>, the 'plasso' package follows Knaus (2022) <doi:10.1093/ectj/utac015> and comes up with two functions that estimate least squares Lasso and Post-Lasso models. The plasso() function adds coefficient paths for a Post-Lasso model to the standard 'glmnet' output. On top of that cv.plasso() cross-validates the coefficient paths for both the Lasso and Post-Lasso model and provides optimal hyperparameter values for the penalty term lambda.
Getting started
Browse package contents
Package details |
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| Author | Glaisner Stefan [aut, cre], Knaus Michael C. [ctb] (<https://orcid.org/0000-0002-7328-1363>) |
| Maintainer | Glaisner Stefan <stefan.glaisner@student.uni-tuebingen.de> |
| License | GPL-3 |
| Version | 0.1.2 |
| URL | https://github.com/stefan-1997/plasso |
| Package repository | View on CRAN |
| Installation |
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