I uploaded a new version of the lars package to CRAN,
which incorporates some nontrivial changes.
1) lars now has normalize and intercept options, both defaulted to TRUE,
which means the variables are scaled to have unit euclidean norm, and
an intercept is included in the model. Either or both can be set to FALSE.
2) lars has an additional type = "stepwise" option;
now the list is type=c("lasso", "lar",
"forward.stagewise","stepwise")
This was included because it is trivial to implement, and useful for
comparisons.
"Stepwise" is a version of forward stepwise regression, where the
variable to
enter is the one most correlated with the residuals. This is not
necessarily the
same as the forward stepwise implemented as part of step() in R, where the
variable entered is the one that, when included, reduces the RSS the most.
3) a method for summary() has been included, which gives an anova-type
summary
of the sequence of steps.
4) The plot method for lars defaults to plotting coefficients against
the relative
L1 norm of the coefficients. This was not done correctly in general for
type "lar"
and "forward.stagewise", since the L1 norm does not change smoothly if
coefficients pass through zero. This has been fixed.
5) A smalll number of of other changes have been made, some in response
to email
messages from users.
Thanks to Yann-Ael Le Borgne for pointing out the problem in (4) and
proposing
a solution, and to Lukas Meier for reporting some bugs. Please let me
know of any
new problems, or old ones not yet repaired.
Trevor Hastie
--------------------------------------------------------------------
Trevor Hastie hastie at stanford.edu
Professor & Chair, Department of Statistics, Stanford University
Phone: (650) 725-2231 (Statistics) Fax: (650) 725-8977
(650) 498-5233 (Biostatistics) Fax: (650) 725-6951
URL: http://www-stat.stanford.edu/~hastie
address: room 104, Department of Statistics, Sequoia Hall
390 Serra Mall, Stanford University, CA 94305-4065
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