[R] lasso for variable selection

From: zubin <binabina_at_bellsouth.net>
Date: Sun 13 Aug 2006 - 07:23:23 EST

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 importance?

for variable selection - i have a group of correlated variables that we need to determine importance in predicting change of a Y variable.

-zubin



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