On Fri, Feb 15, 2013 at 12:53 PM, Olivier Grisel <[email protected]> wrote: > How do you evaluate which value of alpha is the best if you don't > cross validate in one way or another?
Just choose the alpha (from a fixed set) that minimizes the RMSE of the prediction of the last time step (or the last n time steps with exponential decay). Maybe I'm mistaken but there's no easy way to do that with LassoLarsCV. -- Charles-Pierre ------------------------------------------------------------------------------ Free Next-Gen Firewall Hardware Offer Buy your Sophos next-gen firewall before the end March 2013 and get the hardware for free! Learn more. http://p.sf.net/sfu/sophos-d2d-feb _______________________________________________ Scikit-learn-general mailing list [email protected] https://lists.sourceforge.net/lists/listinfo/scikit-learn-general
