 Checked the authors' paper on page 8 it explains how the \lambda sequence is chosen. I guess this is what you were looking for.


http://www.stanford.edu/~hastie/Papers/glmnet.pdf

 
Eugen Pircalabelu
(0032)471 842 140
(0040)727 839 293


________________________________
From: Noah Silverman <noahsilverman@ucla.edu>
To: r-help@r-project.org
Sent: Tuesday, August 23, 2011 10:45 AM
Subject: [R] Glmnet lambda value choice

Hi,

When using the glmnet() function of the package glmnet, A series of coefficients is returned for a list of descending lambda values.

I am unable to locate anything in the documentation that explains HOW this choice of lambda series is made.  (There is documentation about how to choose my own, but I want to understand how the authors are doing it)

Any ideas?


--
Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095

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