Re: [R] lasso for variable selection

From: Wensui Liu <liuwensui_at_gmail.com>
Date: Sun 13 Aug 2006 - 08:04:03 EST

Zubin,

my understanding about lasso is that it is a restricted version of regression, where minimization of sse subject to sum(abs(beta)) < upper limit such that for unimportant feature, its beta will be restricted by ZERO. the whole game of lasso is to find the proper upper limit. I think in lasso package, this upper limit is found by CV.

Speaking of lasso, I think it can be also implemented in SAS with proc glmselect.

for more information, Prof. Tibshirani's lasso page is extremely helpful: http://www-stat.stanford.edu/~tibs/lasso.html

HTH. wensui

On 8/12/06, zubin <binabina@bellsouth.net> wrote:
>
> 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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-- 
WenSui Liu
(http://spaces.msn.com/statcompute/blog)
Senior Decision Support Analyst
Health Policy and Clinical Effectiveness
Cincinnati Children Hospital Medical Center

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Received on Sun Aug 13 08:17:31 2006

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