[R] lasso for variable selection
binabina at bellsouth.net
Sat Aug 12 23:23:23 CEST 2006
Attended JSM last week and Friedman mentioned the use of LASSO for
variable selection (he uses it for rules ensembles). I am an
econometrician and not familiar with, i started running the examples in
R this week and you get to the plots section of the LARS package.
Plots of beta/max(beta) vs standardized coefficients. How does one
interpret them? u see plots of each variable converging to zero at
different times - its pretty cool - but can i use this for variable
for variable selection - i have a group of correlated variables that we
need to determine importance in predicting change of a Y variable.
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