sealasso: Standard Error Adjusted Adaptive Lasso

Standard error adjusted adaptive lasso (SEA-lasso) is a version of the adaptive lasso, which incorporates OLS standard error to the L1 penalty weight. This method is intended for variable selection under linear regression settings (n > p). This new weight assignment strategy is especially useful when the collinearity of the design matrix is a concern.

Getting started

Package details

AuthorWei Qian <[email protected]>
MaintainerWei Qian <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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sealasso documentation built on May 29, 2017, 7:49 p.m.