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Lasso Regression

Select menu: Stats | Regression Analysis | Lasso Regression

Lasso Regression

Use this to perform Lasso regression, that is a L1-penalized regression using iteratively reweighted sums of squares. The lasso method minimizes the residual sums of squares subject to the constraint that the sum of the absolute values of the model coefficients is less than a tuning parameter lambda (λ). Normally the tunning parameter λ is give a range of values and the optimal value of λ chosen by cross-validation.

Available Data

This lists data structures appropriate to the current input field. The contents will change as you move from one field to the next. Double-click a name to copy it to the current input field or type the name.

Response variate

Specify a response variate containing the data.

Model formula or list of explanatory data

Specifies the model terms in the fitted model, which may be set using a model formula or using a list of terms separated by commas.

Factorial limit on model terms

You can control the factorial limit on model terms to be generated when you use in model-formula operators like ‘*’.

Tuning parameter lambda

This gives the values to try for the tuning parameter λ. These values may either be in a Variate which is specifed in the associated field, or given as Range of values which are specified with a Start, End and Number of values (the sequence of values used is Start + (i – 1)*(End – Start)/(Number of values – 1), for i = 1…Number of values). If the Use exponential sequence option is used the sequence formed on the log scale and then exponentiated. In this case the Start and End cannot be zero.

Operators

This provides a quick way of entering operators in the Model Terms formula. Double-click on the required symbol to copy it to the current input field. You can also type in operators directly. See model formula for a description of each.

Action Buttons

Run Run the analysis.
Cancel Close the menu without further changes.
Options Opens a dialog where additional options and settings can be specified for the analysis.
Defaults Set the menu settings back to the default settings. Clicking the right mouse on this button produces a shortcut menu where you can choose to set the options using the currently stored defaults or the Genstat default settings.
Store Opens a dialog where you can save results from the analysis.

Action Icons

Pin Controls whether to keep the menu open when you click Run. When the pin is down , then the menu will remain open, otherwise when the pin is up , the menu will close.
Restore Restore names into edit fields and default settings.
Clear Clear all edit and list boxes.
Help Help about this menu.

See Also

Updated on November 9, 2017

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