Select menu: Stats | Regression Analysis | 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.
- After you have imported your data, from the menu select
Stats | Regression Analysis | Lasso Regression. - Fill in the fields as required then click Run.
You can set additional Options before running the analysis and save the results by clicking Store.
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 Steps (the sequence of values used is Start + (i – 1)*(End – Start)/(Steps – 1), for i = 1…Steps). 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 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 dialog without further changes. |
Options | Opens a dialog where additional options and settings can be specified for the analysis. |
Defaults | Reset options 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 dialog open when you click Run. When the pin is down the dialog will remain open, otherwise when the pin is up the dialog will close. | |
Restore | Restore names into edit fields and default settings. | |
Clear | Clear all fields and list boxes. | |
Help | Open the Help topic for this dialog. |
See also
- Lasso Regression Options
- Lasso Regression Save Options
- RLASSO procedure in command mode