lasso

  1. S

    developing and assessing a prediction Cox model using lasso

    I wonder if anyone can comment on if the following modelling strategy is valid please? I have a 200 patient survival data set (actually 2 data sets: 40 events and 160 events) and 100,000 ish candidate predictors. I want to build a prediction model so I plan to use LASSO and elastic net (with...
  2. D

    How do I assess which is the most suitable model?

    Hey everyone, I am making an R project, and I have computed the models using all the methods we've studied in the lectures (particularly Lasso and Forward stepwise selection). In the conclusion, I have to assess which is the most suitable specification model. Could you help me writing...
  3. Junes

    Many predictors relative to cases, want to identify interesting ones

    I've been helping a colleague with his research project. He is looking at the trustworthiness of profile texts. He is analyzing text entries using the LIWC tool, which generates around 90 dimensions based on text input (positive/negative affect, pronoun use, etc.). Most of it on the ratio or...
  4. rogojel

    Mixing lasso with OLS

    Hi, I am looking at a data set of 45 continuous IV and 1 DV, trying to find an acceptable regression model. I tried the lasso with cross-validation and ended up with about 10 non-zero coefficients in the best model. However, when I ran the sanity test of building the OLS model with the 10...
  5. R

    Averaging LASSO coefficients for repeated random partitioning of data

    Is it reasonable to average LASSO coefficients from repeated reshuffling of training/test sets? Suppose I randomly divide my data into testing & training sets, then within the training set use 10-fold cross-validation to choose an optimal λ, then refit on full training data and record the...
  6. M

    How to use LASSO with common shocks (economic factors)

    I am trying to use LASSO for variable selection, on a balanced panel. I have a total of 14 predictors, and would like to reduce this variable space. The panel is comprised of n dependent variables, each having t observations. I am planning to run LASSO on the cross-section for each time t...
  7. M

    How to use LASSO with common shocks

    I am trying to use LASSO for variable selection, on a balanced panel. I have a total of 14 predictors, and would like to reduce this variable space. The panel is comprised of n dependent variables, each having t observations. I am planning to run LASSO on the cross-section for each time t...
  8. M

    Using LASSO with economic fundamentals as potential predictors

    I am looking to use LASSO for variable selection, in the context of an economic factor model. My response variable is a balanced panel dataset, with n securities, each having t observations. My independent variables - potential predictors - are k economic variables: each of the k variables is...