Tom, for linear regression models (Lasso et al.) there is no support but you can achieve what you want with manual prewhitening (taking care of feature scaling c.f. normalize parameter).
Adding native support is conceivable for the project I think. HTH Alex On Tue, Feb 11, 2014 at 3:28 PM, Thomas Palmer <tjpal...@tjpalmer.com> wrote: > Hello, > > I have interest in weight my samples for linear learners such as > LinearRegression, LassoLarsCV, and friends. > > I found an example for SVM based on per-sample C > (http://scikit-learn.org/stable/auto_examples/svm/plot_weighted_samples.html), > but this isn't the kind of learner I want to use. And sample_weight doesn't > seem to work on LassoLarsCV or other related linear methods I've tested it > on. > > I tried pre-weighting based on weighted LS math > (http://en.wikipedia.org/wiki/Least_squares#Weighted_least_squares), and it > sort of worked in simple tests (where I either scaled or repeated samples), > but it doesn't seem to be working in my actual use case. > > I also found a recent mailing list thread on recommendations for logistic > regression, recommending perhaps a particular PR branch > (https://github.com/scikit-learn/scikit-learn/pull/2784), but that still > seems to be going down the SVM route. > > Is there any support in sklearn for weighted samples in simple linear > regression that I've missed? Or should my pre-weighting work after all (and > therefore I'm likely just doing it wrong)? > > Thanks, > Tom Palmer > > ------------------------------------------------------------------------------ > Android apps run on BlackBerry 10 > Introducing the new BlackBerry 10.2.1 Runtime for Android apps. > Now with support for Jelly Bean, Bluetooth, Mapview and more. > Get your Android app in front of a whole new audience. Start now. > http://pubads.g.doubleclick.net/gampad/clk?id=124407151&iu=/4140/ostg.clktrk > _______________________________________________ > Scikit-learn-general mailing list > Scikit-learn-general@lists.sourceforge.net > https://lists.sourceforge.net/lists/listinfo/scikit-learn-general > ------------------------------------------------------------------------------ Android apps run on BlackBerry 10 Introducing the new BlackBerry 10.2.1 Runtime for Android apps. Now with support for Jelly Bean, Bluetooth, Mapview and more. Get your Android app in front of a whole new audience. Start now. http://pubads.g.doubleclick.net/gampad/clk?id=124407151&iu=/4140/ostg.clktrk _______________________________________________ Scikit-learn-general mailing list Scikit-learn-general@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/scikit-learn-general
