I got my posting bounced and sorry if I accidentally post twice.
I have been looking at 'lars' pkg and got puzzled by the behavior of
function 'lars'. I want to do weighted lasso regression and can't get a
match from lars output with lm output. Here is an example:
y = rnorm(10)
x = matrix(runif(50),nrow=10)
X = data.frame(y,x)
z = runif(10)
X = data.frame(y,x,z)
X$z = X$z / sum(X$z) # this is not necessary.
fit1 = lars(as.matrix(X[,2:6])*matrix(sqrt(X[,7]),10,5),as.matrix
(X[,1])*sqrt(X[,7]))
fit2 = lm(y~.-z,data=X,weights=z)
coef(fit1,mode='fraction',s=1)
fit2
I got this:
> coef(fit1,mode='fraction',s=1)
X1 X2 X3 X4 X5
-2.8603082 -0.8303739 0.1064474 3.6563283 2.8342368
> fit2
Call:
lm(formula = y ~ . - z, data = X, weights = z)
Coefficients:
(Intercept) X1 X2 X3 X4
X5
-0.4227 -2.4817 -0.7105 -0.2611 2.6908 2.0295
Shouldn't they match? If not, what did I miss and how to correctly do lasso
with weights? Thanks a lot for any advice.
Young
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