With the use of the LARS algorithm, a path of solutions corresponding
to a sequence of the regularization parameter can be obtained for
LASSO (or even the elastic net, a hybrid between LASSO and ridge) at
the cost of one linear regression. In terms of computational speed
LASSO seems to
On Wed, 14 Apr 2010, Kenneth Lo wrote:
With the use of the LARS algorithm, a path of solutions corresponding to a
sequence of the regularization parameter can be obtained for LASSO (or even
the elastic net, a hybrid between LASSO and ridge) at the cost of one linear
regression. In terms of
Thanks for your pointer. I looked into Applied Regression Analysis
by Draper and Smith, and the ridge trace solution can be obtained
efficiently by expressing it in canonical form. It could be coded
without much difficulty, but I'm just wondering if there's any package
which has already
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