Tag Archives: LASSO

The package hdm for double selection inference with a simple example

By Gabriel Vasconcelos In a late post I discussed the Double Selection (DS), a procedure for inference after selecting controls. I showed an example of the consequences of ignoring the variable selection step discussed in an article by Belloni, Chernozhukov … Continue reading

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When the LASSO fails???

By Gabriel Vasconcelos When the LASSO fails? The LASSO has two important uses, the first is forecasting and the second is variable selection. We are going to talk about the second. The variable selection objective is to recover the correct … Continue reading

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LASSO, adaLASSO and the GLMNET package

By Gabriel Vasconcelos Motivation If you are close to the data science world you probably heard about LASSO. It stands for Least Absolute Shrinkage and Selection Operator. The LASSO is a model that uses a penalization on the size of … Continue reading

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