Check out Park & Hastie's glmpath package. They have a really clever
analysis and implementation of a generalized least angle regression.
Greg
>On Fri, 2006-09-15 at 18:49 -0400, Ravi Varadhan wrote:
> > Is there an R implementation of least angle regression for binary
response
> > modeling? I know that this question has been asked before, and I am
also
> > aware of the "lasso2" package, but that only implements an L1
penalty, i.e.
> > the Lasso approach.
>
> > Madigan and Ridgeway in their discussion of Efron et al (2004)
describe a
> > LARS-type algorithm for generalized linear models. Has anyone
implemented
> > this in R?
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