So does anyone use this package?
?
----- Original Message -----
From: Scott Raynaud <scott.raynaud at yahoo.com>
To: "r-help at r-project.org" <r-help at r-project.org>
Cc:
Sent: Tuesday, January 10, 2012 1:40 PM
Subject: grplasso
I want to use the grplasso package on a data set where I want to fit a linear
model.? My interest is in identifying significant?beta coefficients.? The
documentation is a bit cryptic so I'd appreciate some help.
?
I know this is a strategy for large numbers of variables but consider a simple
case for pedagogical puposes.? Say I have?two 3 category predictors (2 dummies
each), a binary predictor and a continuous predictor with a continuous outcome:
?
y? x1? x2? x3? x4 x5 x6
rows of data here
......
......
?
Naturally, I want to select x1 and x2 as a group and x3 and x4 as another
group.?
The documentation has a couple of examples but it's not clear how they
translate
to the current problem.? How do I specify my groups and run the lasso
regression?
?
Looks like this is the grouping part:
?
index<-c(NA,)
?
but I'm not sure how to specify the df for the variables past the NA for the
intercept.
?
Once that's defined the penalty can be specified:
?
lambda <- lambdamax(x, y = y, index = index, penscale = sqrt,
model = LogReg()) * 0.5^(0:5)?
In my case I'd use LinReg for the model.?
?
Then the model:
?
fit <- grplasso(x, y = y, index = index, lambda = lambda, model = LogReg(),
penscale = sqrt, control = grpl.control(update.hess = "lambda", trace
= 0))
?
again using LinReg for the model.
This can be plotted against lambda, but when I do lasso regression
in other software I end up with a plot of the coefficients against the
tuning parameter with a cutpoint or a table and graph that tells me?
what to include in the model based on some selected criterion.?
It's not clear from the example if there's a cross-validation or some
other procedure to determine what variables to include.??Plot(fit)
produces a graph of coefficients against lambda but nothig to indicate
what to include.? What is used in the package, if anything, to make that
determination?