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Activity Number:
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481
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Type:
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Contributed
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Date/Time:
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Wednesday, August 9, 2006 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Statistical Computing
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| Abstract - #307563 |
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Title:
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S-PLUS and R Package for Least Angle Regression
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Author(s):
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Tim C. Hesterberg*+
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Companies:
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Insightful Corporation
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Address:
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1700 Westlake Ave., Suite 500, Seattle, WA, 98109-3044,
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Keywords:
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regression ; feature selection ; variable selection ; regularization ; L1 penalty
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Abstract:
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Least Angle Regression is a promising new technique for variable selection applications, offering a nice alternative to stepwise regression. It provides an explanation for the similar behavior of Lasso (L1-penalized regression) and forward stagewise regression, and provides a fast implementation of both. I'll demonstrate a prototype open-source S-PLUS/R package "glars" for generalized least angle regression, extending the "lars" package of Efron and Hastie and "glmpath" of Park and Hastie. We invite outside collaboration, and plan for future versions of the package to provide a framework others can build on.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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