Re: [R] LARS for generalized linear models

From: Marc Schwartz <MSchwartz_at_mn.rr.com>
Date: Fri 15 Sep 2006 - 23:00:30 GMT

On Fri, 2006-09-15 at 18:49 -0400, Ravi Varadhan wrote:
> Hi,

> Is there an R implementation of least angle regression for binary response
> modeling? I know that this question has been asked before, and I am also
> aware of the "lasso2" package, but that only implements an L1 penalty, i.e.
> the Lasso approach.

> Madigan and Ridgeway in their discussion of Efron et al (2004) describe a
> LARS-type algorithm for generalized linear models. Has anyone implemented
> this in R?

> Thanks for any help.

> Best,
>
> Ravi

This just came up last month. See this post:

  https://stat.ethz.ch/pipermail/r-help/2006-August/111352.html

HTH, Marc Schwartz



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