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2012 Mar 21
1
glmnet() vs. lars()
dear all,
It appears that glmnet(), when "selecting" the covariates entering the
model, skips from K covariates, say, to K+2 or K+3. Thus 2 or 3
variables are "added" at the same time and it is not possible to obtain
a ranking of the covariates according to their importance in the model.
On the other hand lars() "adds" the covariates one at a time.
My question