[R] Model selection in LASSO (cross-validation)

WQ Y hi_squirrel at hotmail.com
Thu Mar 15 22:04:11 CET 2007


Hi, I know how to use LASSO for model selection based on the Cp criterion.  
I heard that we can also use cross validation as a criterion too.  I used 
cv.lars to give me the lowest predicted error & fraction.  But I'm short of 
a step to arrive at the number of variables to be included in the final 
model.  How do we do that?  Is it the predict.lars function?  i tried > 
logprostate.plars.cv=predict.lars(logprostate.lars.cv, M, type = "fit", 
mode="fraction") but it gives me error message:
Error in dim(data) <- dim : attempt to set an attribute on NULL.  Please 
help!

thanks!

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