[Gretl-devel] Re: lasso package available for testing
On Tue, 10 Dec 2019, Sven Schreiber wrote:
Am 05.12.2019 um 23:22 schrieb Allin Cottrell:
> I've been working lately on a lasso package for gretl. It's not at >
the
> point of uploading for approval (among other things, it doesn't
> have a GUI hook yet) but I'd be grateful if anyone is willing to try
> some testing and give me feedback.
The sample script runs fine on Windows, and apparently uses MPI alright!
From the code I understand that the full coeff vector (ret.b) is
suppressed if a lambda sequence is used, because all those vectors are
in ret.B. OK. I was still wondering, however, if it could make sense to
have the full vector repeated for the optimized case in ret.b. That
would be the analogue to the single set of non-zero coefficients
provided in ret.nzb. But do I understand correctly that
ret.B[, ret.idxmin]
does give that optimized full coefficient set?
Yes, it does. But it might be convenient to provide it in its own
right.
Apart from that on a meta level I was also wondering whether
Artur's
packages TsCrossValidation and/or CvDataSplitter could benefit from the
cross validation approach used, or the other way around.
Maybe, I'll take a look.
Allin