[R] Question about the lars package

[lulu9797]

Thanks a lot for the reply. 

1. How I compare the lars v.s. lm

Your understand is correct. 

2. Answer to my question. 

I guess in each step of lars, the coeff are not the same as the lm function
returns using the same "model", because the coeff of lars are the
"accumulated steps" towards the selected direction. 

It's actually my first time using this mailing list. Sorry that I wasn't
aware it's inappropriate to push for answers. But thanks a lot for the
recommendation of glmnet. I'll definitely look into it. 


Steve Lianoglou-6 wrote:
> 
> Hi,
> 
> On Jul 22, 2009, at 6:18 PM, lulu9797 wrote:
> 
>> The returned values of lars function include R squares along the  
>> variable
>> selection path.
> 
> Correct.
> 
>> However, such values are always slightly different from the
>> R squares returned by the regression function lm using the same  
>> models.
>> Anyone know the reasons?
> 
> How are you comparing the models from lars vs. lm?
> 
> Are you just using the non-zero coefs you get from lars in setting up  
> your formula for lm (or something)?
> 
> How different is "slightly different"?
> 
> No idea/speculation: if you're comparing the "dropped coefficients"  
> models to each other, perhaps the coefs on your predictors are  
> slightly different in lars vs. lm since you've got the l1-penalty on  
> them?
> 
> Perhaps a guru will respond with better insight.
> 
>> Very important, and needs quick answers.
> 
> As a point of etiquette, I reckon most people don't really respond too  
> well to requests like these since posting to this mailing list is  
> essentially asking for free help. If it's so urgent/important to you,  
> you can get some professional-for-hire to drop whatever s/he is doing  
> at the moment and work it all out for you.
> 
> By the by, you might want to look at the glmnet package if you find  
> yourself using lars often. Setting the glmnet alpha parameter to 1  
> essentially gives you the lasso regularization path and I've found it  
> to be quite a bit faster than lars.
> 
> -steve
> 
> --
> Steve Lianoglou
> Graduate Student: Physiology, Biophysics and Systems Biology
> Weill Medical College of Cornell University
> 
> Contact Info: http://cbio.mskcc.org/~lianos/contact
> 
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