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nic
2013 Jul 17
1
glmnet on Autopilot
...rily R related (so sorry for that): when
comparing glmnet with other models in terms of predictive accuracy, is it
fair to make the comparison including those cases in which the `best'
cv.glmnet can do in an automated setting is pred = avg(response)?
library(glmnet)
set.seed(1010)
n=100;p=3000
nzc=trunc(p/10)
x=matrix(rnorm(n*p),n,p)
beta=rnorm(nzc)
fx= x[,seq(nzc)] %*% beta
eps=rnorm(n)*5
y=drop(fx+eps)
px=exp(fx)
px=px/(1+px)
ly=rbinom(n=length(px),prob=px,size=1)
fit.net <- cv.glmnet(x,
ly,
family = "binomial",
a...