pcLasso1.2 package

Principal Components Lasso

cv.pcLasso

Cross-validation for pcLasso

pcLasso

Fit a model with principal components lasso

plot.cv.pcLasso

Plot the cross-validation curve produced by "cv.pcLasso" object

predict.cv.pcLasso

Make predictions from a "cv.pcLasso" object

predict.pcLasso

Make predictions from a "pcLasso" object

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A method for fitting the entire regularization path of the principal components lasso for linear and logistic regression models. The algorithm uses cyclic coordinate descent in a path-wise fashion. See URL below for more information on the algorithm. See Tay, K., Friedman, J. ,Tibshirani, R., (2014) 'Principal component-guided sparse regression' <arXiv:1810.04651>.