dglars is a publicly available R package that implements the method proposed in Augugliaro, Mineo, and Wit (2013), developed to study the sparse structure of a generalized linear model. This method, called dgLARS, is based on a differential geometrical extension of the least angle regression method proposed in Efron, Hastie, Johnstone, and Tibshirani (2004). The core of the dglars package consists of two algorithms implemented in Fortran 90 to efficiently compute the solution curve: a predictor-corrector algorithm, proposed in Augugliaro et al. (2013), and a cyclic coordinate descent algorithm, proposed in Augugliaro, Mineo, and Wit (2012). The latter algorithm, as shown here, is significantly faster than the predictor-corrector algorithm. For comparison purposes, we have implemented both algorithms.

Augugliaro, L., Mineo, A., Wit, E.C. (2014). dglars: An R Package to Estimate Sparse Generalized Linear Models. JOURNAL OF STATISTICAL SOFTWARE, 59(8), 1-40.

dglars: An R Package to Estimate Sparse Generalized Linear Models

AUGUGLIARO, Luigi;MINEO, Angelo;
2014-01-01

Abstract

dglars is a publicly available R package that implements the method proposed in Augugliaro, Mineo, and Wit (2013), developed to study the sparse structure of a generalized linear model. This method, called dgLARS, is based on a differential geometrical extension of the least angle regression method proposed in Efron, Hastie, Johnstone, and Tibshirani (2004). The core of the dglars package consists of two algorithms implemented in Fortran 90 to efficiently compute the solution curve: a predictor-corrector algorithm, proposed in Augugliaro et al. (2013), and a cyclic coordinate descent algorithm, proposed in Augugliaro, Mineo, and Wit (2012). The latter algorithm, as shown here, is significantly faster than the predictor-corrector algorithm. For comparison purposes, we have implemented both algorithms.
2014
Settore SECS-S/01 - Statistica
Augugliaro, L., Mineo, A., Wit, E.C. (2014). dglars: An R Package to Estimate Sparse Generalized Linear Models. JOURNAL OF STATISTICAL SOFTWARE, 59(8), 1-40.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/96416
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