MLGL: An R Package Implementing Correlated Variable Selection by Hierarchical Clustering and Group-Lasso

MLGL: An R Package Implementing Correlated Variable Selection by Hierarchical Clustering and Group-Lasso

The R package MLGL, standing for multi-layer group-Lasso, implements a new procedure of variable selection in the context of redundancy between explanatory variables, which holds true with high-dimensional data. A sparsity assumption is made that postulates that only a few variables are relevant for...

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Bibliographic Details
Main Authors: Quentin Grimonprez, Samuel Blanck, Alain Celisse, Guillemette Marot
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2023-03-01
Series:Journal of Statistical Software
Subjects:
penalized regression
correlated variables
hierarchical clustering
group selection
r
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/3539

Internet

https://www.jstatsoft.org/index.php/jss/article/view/3539

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