I got an email the last week in January from the R help list announcing the release of the newest version of glmnet, a statistical learning algorithm that fits lasso and elastic net regularization paths for squared error, binomial and multinomial models via coordinate descent. Dont be ashamed if you find that description a bit abstruse: just know youre not alone! Suffice it to say that glmnet is a state-of-the-art modeling package that handles the prediction of interval and categorical dependent variables efficiently.
The R Statistical Learning Lasso
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