[R] Double Cross validation for LASSO

Max Kuhn mxkuhn at gmail.com
Tue Mar 17 14:00:52 CET 2009


>  I am looking for a code on double cross validation in
> LASSO , one for optimizing the parameter and other one is for MSEP. If any
> one have it, please foroward to me. I am using different  package like LARS,
> chemometric etc.

It won't do double cross-validation, but the caret package can be used
to tune similar models using different forms of cross-validation or
the bootstrap. Currently, the elasticnet, the lasso (via the
elasticnet) and models from the penalized package can be used. I have
a devel version with glmnet in it too. I could always add LARS to
caret. See


Of course, there is always lars:::cv.lars too.



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