Hi all,
I'm relatively new to using R, and have been trying to fit an L1
regularization path using coxpath from the glmpath library.
I'm interested in using a cross validation framework, where I crossvalidate
on a training set to select the lambda that achieves the lowest error, then
use that value of lambda on the entire training set, before applying to a
test set. This seems to entail somehow using cv.coxpath , inspecting the
cv.error attribute, then using the corresponding lambda in coxpath.
However, the lambda values in cv.coxpath are defined in terms of fractions
(fraction of the largest value that lambda can be sensibly), whereas it
doesn't seem like you can specify lambda with respect to its largest value
in coxpath.
Any ideas? Thanks!
Brian.
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