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Group shinkage (e.g. group lasso) during variable selection

Open pancodia opened this issue 7 years ago • 1 comments

Does a prediction model with variable selection procedure (e.g. lasso regression) consider group shinkage (e.g. group lasso)? For example, if a categorical variable with C levels is converted to C-1 binary features (i.e. dummy variables), it would make more sense that all C-1 variables are kept or removed after variable selection.

pancodia avatar Mar 17 '17 19:03 pancodia

The current lasso logistic regression we use has group lasso but it is still being tested. Hopefully it will be added this year.

jreps avatar Mar 23 '18 10:03 jreps