plasso: Lasso and Post-Lasso

In plasso: Cross-Validated (Post-) Lasso

Lasso and Post-Lasso

Description

plasso implicitly estimates a Lasso model using the glmnet package and additionally estimates coefficient paths for a subsequent Post-Lasso model.

Usage

plasso(x, y, w = NULL, ...)

Arguments

x	Matrix of covariates (number of observations times number of covariates matrix)
y	Vector of outcomes
w	Vector of weights
...	Pass glmnet options

Value

List including base glmnet (i.e. Lasso) object and Post-Lasso coefficients.

call	the call that produced this
lasso_full	base glmnet object
beta_plasso	matrix of coefficients for Post-Lasso model stored in sparse column format
x	Input matrix of covariates
y	Matrix of outcomes
w	Matrix of weights

Examples

# load toeplitz data
data(toeplitz)
# extract target and features from data
y = as.matrix(toeplitz[,1])
X = toeplitz[,-1]
# fit plasso to the data
p = plasso::plasso(X,y)
# plot coefficient paths for Post-Lasso model
plot(p, lasso=FALSE, xvar="lambda")
# plot coefficient paths for Lasso model
plot(p, lasso=TRUE, xvar="lambda")
# get coefficients for specific lambda approximation
coef(p, s=0.05)
# predict fitted values along whole lambda sequence 
pred = predict(p)
head(pred$plasso)

plasso documentation built on May 29, 2024, 6:46 a.m.