[R] Strange behaviour of lars method

[Wiebke Timm]

Thanks for your answer!

On 20.09.2007, at 12:48, Tim Hesterberg wrote:

> Might you be having numerical problems?

That might very well be what's happening. Did hope that it only  
happens late in the procedure so I can ignore it, but those Cp values  
indicate I maybe can't.

> If you're using the "lars"
> library, it uses cross-product matrices, which are notoriously
> numerically unstable in regression calculations when there is
> high multiple correlation among the x's.

...as is the case in my data. Good to know...

> We have a prototype package that offers more stable calculations,
> using QR decompositions.
> See http://www.insightful.com/Hesterberg/glars
> Let me know if you'd like to try this.

Yes, please!

Just also had a peak at the ProcASA paper that's linked there... I  
did not know about elastic net before, maybe I will try that too for  
comparison... In fact (like always) I don't really know what method  
would be best.

Did you try lars or glars on some more noisy/bad/difficult data sets?  
How good is its stability/generalization capability on these?
You write the original LARS method is for linear regression. But it  
includes the lasso solutions. Lasso can have nonlinear solutions  
because of the penalty used. Or did I misunderstand something?

Regards,
    Wiebke