Relaxed Lasso

Relaxed Lasso is a generalisation of the Lasso shrinkage technique for linear regression. Both variable selection and parameter estimation is achieved by regular Lasso, yet both steps do not necessarily use the same penalty parameter. The results include all standard Lasso solutions but allow often for sparser models while having similar or even slightly better predictive performance if many predictor variables are present. The package depends on the LARS package.


Reference manual

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install.packages("relaxo")

0.1-2 by Nicolai Meinshausen, 14 years ago


http://www.stats.ox.ac.uk/~meinshau/


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


Authors: Nicolai Meinshausen


Documentation:   PDF Manual  


GPL license


Imports graphics, utils, stats

Depends on lars


See at CRAN