uniLasso

MaRDI QIDQ7381167CRANFDO

Authors Trevor Hastie, Rob Tibshirani, Sourav Chatterjee

Last update 26 January 2026

Copyright license GNU General Public License, version 2.0

Software version identifier 2.11

Description

Fit a univariate-guided sparse regression (lasso), by a two-stage procedure. The first stage fits p separate univariate models to the response. The second stage gives more weight to the more important univariate features, and preserves their signs. Conveniently, it returns an objects that inherits from class 'glmnet', so that all of the methods for 'glmnet' are available. See Chatterjee, Hastie and Tibshirani (2025) <doi:10.1162/99608f92.c79ff6db> for details.

Cites work

• Univariate-Guided Sparse Regression

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