Hi all,
I would greatly appreciate if someone was so kind and share with us a
package or method that uses a regularized regression approach that balances
a regression model performance and model complexity.
That said I would be most grateful is there is an R-package that combines
Ridge (sum of squares coefficients), Lasso: Sum of absolute coefficients
and Best Subsets: Number of coefficients as methods of regularized
regression.
Sincerely,
Christos Giannoulis
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