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'
predict.pcLassonow works when
family = “binomial”(previously, the intercept term was being added in an incorrect manner).
standardize = TRUEscaled the
betacoefficients and intercept
a0incorrectly. This has been fixed.
pcLassonow generates lambda values for the objective function RSS/(2n) + penalty, instead of that for RSS/2 + penalty.