relaxo: Relaxed Lasso

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.

Author
Nicolai Meinshausen
Date of publication
2012-06-01 16:06:47
Maintainer
Nicolai Meinshausen <meinshausen@stats.ox.ac.uk>
License
GPL
Version
0.1-2
URLs

View on CRAN

Man pages

cvrelaxo
Cross validation for "Relaxed Lasso"
plot.relaxo
Plot of a Relaxed Lasso Object
predict.relaxo
predict method for class relaxo
relaxo
Relaxed Lasso (relaxo)

Files in this package

relaxo
relaxo/MD5
relaxo/R
relaxo/R/relaxo.R
relaxo/R/print.relaxo.R
relaxo/R/predict.relaxo.R
relaxo/R/plot.relaxo.R
relaxo/R/cvrelaxo.R
relaxo/NAMESPACE
relaxo/man
relaxo/man/relaxo.Rd
relaxo/man/predict.relaxo.Rd
relaxo/man/plot.relaxo.Rd
relaxo/man/cvrelaxo.Rd
relaxo/DESCRIPTION