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' .


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


1.1 by Rob Tibshirani, 10 days ago

Browse source code at

Authors: Jerome Friedman , Kenneth Tay , Robert Tibshirani

Documentation:   PDF Manual  

GPL-3 license

Imports svd

Suggests knitr, rmarkdown

See at CRAN