[R] apply least angle regression to generalized linear models

[Marc Schwartz (via MN)]

On Fri, 2006-08-18 at 11:17 -0400, Mike Wolfgang wrote:
> Hello list,
> 
> I've been searching around trying to find whether somebody has written such
> a package of least angle regression on generalized linear models, like what
> Lasso2 package does. The extension to generalized linear models is briefly
> discussed in the comment by D. Madigan and G. Ridgeway. Is such a package
> available? Thanks,
> 
> Mike

See the aptly named 'lars' package on CRAN and the attendant paper here:

  http://www-stat.stanford.edu/~hastie/Papers/LARS/LeastAngle_2002.pdf

You might also want to review Professor Hastie's presentation at useR!
2006 this past spring:

  http://www.r-project.org/useR-2006/Slides/Hastie.pdf

HTH,

Marc Schwartz