plasso {plasso}

Lasso and Post-Lasso

Description

plasso implicitly estimates a Lasso model using the glmnet package and additionally estimates coefficient paths for a subsequent Post-Lasso model.

Usage

plasso(x, y, w = NULL, ...)

Arguments

x

Matrix of covariates (number of observations times number of covariates matrix)

y

Vector of outcomes

w

Vector of weights

...

Pass glmnet options

Value

List including base glmnet (i.e. Lasso) object and Post-Lasso coefficients.

call

the call that produced this

lasso_full

base glmnet object

beta_plasso

matrix of coefficients for Post-Lasso model stored in sparse column format

x

Input matrix of covariates

y

Matrix of outcomes

w

Matrix of weights

Examples

# load toeplitz data
data(toeplitz)
# extract target and features from data
y = as.matrix(toeplitz[,1])
X = toeplitz[,-1]
# fit plasso to the data
p = plasso::plasso(X,y)
# plot coefficient paths for Post-Lasso model
plot(p, lasso=FALSE, xvar="lambda")
# plot coefficient paths for Lasso model
plot(p, lasso=TRUE, xvar="lambda")
# get coefficients for specific lambda approximation
coef(p, s=0.05)
# predict fitted values along whole lambda sequence 
pred = predict(p)
head(pred$plasso)