plasso (Q5979329)

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Cross-Validated (Post-) Lasso
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plasso
Cross-Validated (Post-) Lasso

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    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.
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    3 December 2023
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    0.1.0
    21 August 2023
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    0.1.1
    24 August 2023
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    0.1.2
    3 December 2023
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