relaxo: Relaxed Lasso
Version 0.1-2

Relaxed Lasso is a generalisation of the Lasso shrinkage technique for linear regression. Both variable selection and parameter estimation is achieved by regular Lasso, yet both steps do not necessarily use the same penalty parameter. The results include all standard Lasso solutions but allow often for sparser models while having similar or even slightly better predictive performance if many predictor variables are present. The package depends on the LARS package.

Getting started

Package details

AuthorNicolai Meinshausen
Date of publication2012-06-01 16:06:47
MaintainerNicolai Meinshausen <[email protected]>
Package repositoryView on CRAN
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relaxo documentation built on May 30, 2017, 3:12 a.m.