Zubin, my understanding about lasso is that it is a restricted version of regression, where minimization of sse subject to sum(abs(beta)) < upper limit such that for unimportant feature, its beta will be restricted by ZERO. the whole game of lasso is to find the proper upper limit. I think in lasso package, this upper limit is found by CV.
Speaking of lasso, I think it can be also implemented in SAS with proc glmselect. for more information, Prof. Tibshirani's lasso page is extremely helpful: http://www-stat.stanford.edu/~tibs/lasso.html HTH. wensui On 8/12/06, zubin <[EMAIL PROTECTED]> wrote: > > Attended JSM last week and Friedman mentioned the use of LASSO for > variable selection (he uses it for rules ensembles). I am an > econometrician and not familiar with, i started running the examples in > R this week and you get to the plots section of the LARS package. > Plots of beta/max(beta) vs standardized coefficients. How does one > interpret them? u see plots of each variable converging to zero at > different times - its pretty cool - but can i use this for variable > importance? > > for variable selection - i have a group of correlated variables that we > need to determine importance in predicting change of a Y variable. > > -zubin > > ______________________________________________ > [email protected] mailing list > 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. > -- WenSui Liu (http://spaces.msn.com/statcompute/blog) Senior Decision Support Analyst Health Policy and Clinical Effectiveness Cincinnati Children Hospital Medical Center [[alternative HTML version deleted]] ______________________________________________ [email protected] mailing list 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.
