Installation
About
Built on top of the 'glmnet' library by Friedman, Hastie and Tibshirani (2010) doi:10.18637/jss.v033.i01, the 'plasso' package follows Knaus (2022) doi:10.1093/ectj/utac015 and comes up with two functions that estimate least squares Lasso and Post-Lasso models. The plasso() function adds coefficient paths for a Post-Lasso model to the standard 'glmnet' output. On top of that cv.plasso() cross-validates the coefficient paths for both the Lasso and Post-Lasso model and provides optimal hyperparameter values for the penalty term lambda.
Citation | plasso citation info |
github.com/stefan-1997/plasso | |
Bug report | File report |
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