pcLasso

A method for fitting the entire regularization path of the principal components lasso for linear and logistic regression models. The algorithm uses cyclic coordinate descent in a path-wise fashion. See URL below for more information on the algorithm. See Tay, K., Friedman, J. ,Tibshirani, R., (2014) 'Principal component-guided sparse regression' doi:10.48550/arXiv.1810.04651.

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