Principal Components Lasso

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' .


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Reference manual

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install.packages("pcLasso")

1.1 by Rob Tibshirani, 10 days ago


https://arxiv.org/abs/1810.04651


Browse source code at https://github.com/cran/pcLasso


Authors: Jerome Friedman , Kenneth Tay , Robert Tibshirani


Documentation:   PDF Manual  


GPL-3 license


Imports svd

Suggests knitr, rmarkdown


See at CRAN