You seem to be mainly asking for help with statistical methodology, which is generally off topic for this list, which is about help with R programming. I suggest you study the references given in the vignette/package and/or post to a statistical list like stats.stackexchange.com instead.

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Cheers, Bert Bert Gunter "The trouble with having an open mind is that people keep coming along and sticking things into it." -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) On Fri, Sep 16, 2016 at 9:33 AM, Dominik Schneider <dominik.schnei...@colorado.edu> wrote: >> Is there a way to extract MSE for a lambda, e.g. lambda.1se? > nevermind this specific question. it's now obvious. However my overall > question stands. > > On Fri, Sep 16, 2016 at 10:10 AM, Dominik Schneider < > dominik.schnei...@colorado.edu> wrote: > >> I'm doing some linear modeling and am new to the ridge/lasso/elasticnet >> procedures. In my case I have N>>p (p=15 based on variables used in past >> literature and some physical reasoning) so my understanding is that I >> should be interested in ridge regression to avoid the issue of >> multicollinearity of predictors. Lasso is useful when p>>N. >> >> In the past I have performed step-wise regression with stepAIC in both >> directions to choose my variables and then used VIF to determine if any of >> these variables are correlated. My understanding is that ridge regression >> is a more robust approach for this workflow. >> >> Reading the glmnet_beta vignette, it describes the alpha parameter where >> alpha=1 is a lasso regression and alpha=0 is a ridge regression. Farther >> down the authors suggest a 10 fold validation to determine an alpha value >> and based on the plots shown, say that alpha=1 does the best here. However, >> all the models look like they approach the same MSE and alpha=0 is the >> lowest curve for all lambda (but maybe this second point doesn't matter?). >> With my data I get a very similar looking set of curves so I'm trying to >> decide if I should stick with alpha=1 instead of alpha=0. Is there a way to >> extract MSE for a lambda, e.g. lambda.1se? >> >> Any advice or clarification is appreciated. Thanks. >> Dominik >> >> > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.